The Total Factor Productivity and the Stock Market:
Evidence from the Brazilian Market
Name: JARDEL NOGUEIRA OLIVEIRA LAGO
Publication date: 25/04/2025
Examining board:
Name |
Role |
|---|---|
| DAIANE RODRIGUES DOS SANTOS | Examinador Externo |
| EDSON ZAMBON MONTE | Examinador Interno |
| RICARDO RAMALHETE MOREIRA | Presidente |
Summary: 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.
