MACROECONOMIC VARIABLES AND FOREIGN CAPITAL FLOWS IN BRAZILIAN STOCK MARKET

Resumo

The objective of this paper is detect, measure and analyze the relationship between the behavior macroeconomic variables - interest rate, inflation, country risk, oil price and exchange rate - and the behavior of foreign capital flows for investments in Brazilian market. Analyzed data refers to 12 years period between 2004 and 2016. Granger causality tests, variance decomposition analyzes and impulse response functions analysis were performed from a vector auto regression model. Results showed that, contrary to what was pointed out in previous studies, none of the selected variables showed a statistically significant relationship with foreign capital flows. However, interest and exchange rates showed some influence in explaining such flows behavior variance.