Análise dos impactos esperados e não-esperados da taxa de juros, câmbio e inflação no mercado brasileiro

This paper examined the expected and non-expected impacts for interest rates, exchange and inflation rates in the Brazilian market. For this purpose , was applied the ARIMA model to estimate the expected value of the first differences of these variables, under a sample of 383 weekly observations for the period from 02/03/2003 to 19/12/2007. Finally, the results indicate that only unexpected shocks in the exchange rate on stock returns were significant.