Determinants of foreign investment volatility in Brazil

Authors

  • Luciano Ferreira Carvalho Universidade Federal de Uberlândia
  • Flávio Vilela Vieira Universidade Federal de Uberlândia
  • Kárem Cristina de Souza Ribeiro Universidade Federal de Uberlândia
  • Wemerson Gomes Borges Universidade Federal de Uberlândia

Keywords:

Volatilidade, Investimento Estrangeiro, Crise Financeira.

Abstract

The study investigates, from 1995 to 2012, the volatility of capital flows and their determinants in Brazil. GARCH was used as a method and then linear regressions were performed to investigate the determinants of volatility of capital flows. The results of GARCH models indicate that investments in the portfolio and other foreign investments are more volatile than foreign direct investment, with volatility increasing from 2004 on and with peaks in times of crisis. The main determinants of the volatility of FDI were lagged volatility, institutional quality, the change in the North American stock market and the financial crisis. For the volatility of Foreign Portfolio Investment, the main determinant was the institutional quality. For the volatility of Other Foreign Investments, the main determinants were volatile itself and lagged GDP growth. Finally, the volatility of Foreign Investment in stocks is shown higher in periods of crisis.

Keywords: volatility, foreign investment, financial crisis.

Author Biographies

Luciano Ferreira Carvalho, Universidade Federal de Uberlândia

Professor de Finanças da Faculdade de Gestão e Negócios da Universidade Federal de Uberlândia;

Doutor em economia pela Universidade Federal de Uberlândia;

Mestre em Administração pela Universidade Federal de Uberlândia.

 

Flávio Vilela Vieira, Universidade Federal de Uberlândia

Professor do Instituto de economia da Universidade Federal de Uberlândia e Pesquisador do CNPq. Pós-doutorado em economia pela University of Glasgow – Department of Economics. Doutor em Economia pela University of New Hampshire, nos Estados Unidos.

Kárem Cristina de Souza Ribeiro, Universidade Federal de Uberlândia

Doutora em Administração; Professora Adjunta da Faculdade de Gestão e Negócios da Universidade Federal de Doutora em Administração (Finanças) pela Universidade de São Paulo

Wemerson Gomes Borges, Universidade Federal de Uberlândia

Professor da Faculdade de Ciências Contábeis da Universidade Federal de Uberlândia Mestre em Contabilidade - Universidade Federal de Uberlândia

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Published

2017-05-30

Issue

Vol. 14 No. 2 (2017): Apr/Jun

Section

Articles

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