Determinantes da volatilidade dos investimentos estrangeiros no Brasil

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.