O Impacto da taxa de juros no preço das Ações da Petrobras: uma análise de impulso-reposta

Abstract

This study investigates the relationship between Brazilian monetary policy and the stock price of Petrobras (PETR4) over the period from 2015 to 2025, considering the simultaneous impact of domestic and external macroeconomic variables. Using monthly data, the analysis applies a multivariate econometric approach based on stationarity tests (ADF, PP, and KPSS), structural break tests (Zivot-Andrews), Johansen cointegration tests, and a VECM model, complemented by Impulse Response Functions, Forecast Error Variance Decomposition, and Granger causality tests. The variables analyzed include the Selic rate, the nominal exchange rate, the external volatility index (VIX), and the international price of Brent crude oil. The results indicate that the stock price of Petrobras is less sensitive to changes in monetary policy compared to Brent and VIX. The VECM reveals the existence of long-term relationships among the variables, highlighting the strong influence of oil prices on the behavior of PETR4. The impulse response functions show that shocks to Brent and VIX have a significant positive effect on the stock price. The study concludes that PETR4’s performance during the analyzed period is predominantly explained by external factors, underscoring the relevance of the global environment for Petrobras’ stock market dynamics.