A produtividade total dos fatores e o mercado acionário : evidências para o mercado brasileiro

Abstract

This dissertation analyzes the relationship between Total Factor Productivity (TFP) and the Brazilian stock market, considering different segments represented by the indices IBOV, SMLL, and IDIV. Using an econometric approach with Vector Autoregression (VAR) and Vector Error Correction (VEC) models, the research captures the short- and long-term dynamics between the variables and identifies the impacts of TFP shocks on stock market performance. The results indicate that positive TFP shocks favorably influence stock indices, with heterogeneous responses depending on the characteristics of the sectors represented by each index. Additionally, stock indices have a positive and permanent impact on TFP in the long term, suggesting that the stock market may act as a productivity catalyst