Um estudo empírico sobre a influência do risco país na produção da indústria de bens do capital no Brasil

Resumo

This is a study on the influence of country risk on the production of the capital goods industry in Brazil, considering the period from January 2003 to December 2018. Specifically, the research examines how innovations in country risk affect the production of capital goods in the subsequent months, considering the joint influence of variables such as interest rates, inflation expectations, and exchange rates. Using the methodology of Autoregressive Vectors (VAR) and analysis through Impulse-Response Function (IRF) analysis, the study finds a negative and statistically significant relationship between country risk and the production of capital goods, indicating that an increase in risk perception discourages investments in this sector. The analysis in sub-periods, before and after the financial crisis of 2008, reveals that such effect fundamentally comes from the post-financial crisis period. Furthermore, the analysis by segments of the Capital Goods industry indicates that the sector has considerable heterogeneity, with the segment focused on construction (agriculture) being the most (least) sensitive to shocks in Country Risk. This research engages with the literature that addresses the relationship between economic uncertainty and investment and production decisions. Moreover, the study provides relevant and practical information for the market and potential applicability in other contexts of emerging markets, highlighting the uniqueness of the Brazilian market.

Ficha do documento

Tipo

Dissertação

Ano

2024

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/35009

Temas

EconomiaDesenvolvimento Econômico

Palavras-chave

Produção da indústria de bens de capitalRisco paísIncerteza econômica e políticaDecisões de investimentoVARProduction of the capital goods industryCountry riskEconomic and political uncertaintyInvestment decisionsEconomiaFinançasIndustria de bens de capitalIncerteza (Economia)Investimentos - Análise