Avaliação da influência das variações macroeconômicas sobre o comportamento dos fundos de investimentos brasileiros entre 2002 e 2015

• Ano de defesa: 2020
• Autor(a) principal: Guaragna, André Wink
• Orientador(a): Moraes, Gustavo Inácio de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Pontifícia Universidade Católica do Rio Grande do Sul
• Programa de Pós-Graduação: Programa de Pós-Graduação em Economia do Desenvolvimento
• Departamento: Escola de Negócios
• País: Brasil
• Palavras-chave em Português: Portfólio de Investimento; Modelos ARCH-GARCH; Política Econômica; Rentabilidade Financeira; Tipologia de Fundos
• Palavras-chave em Inglês: Investment Portfolio; ARCH-GARCH Models; Economic Policy; Financial Profitability; Types of Funds
• Área do conhecimento CNPq: CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: http://tede2.pucrs.br/tede2/handle/tede/9399

Macroeconomic variations, such as those experienced in Brazil in the past two decades, have required greater attention from agents in the construction of their portfolios. Investment funds are one of the most common ways of investing resources, where investors pool their resources in a specific investment class. This dissertation focused on evaluating the influence of Brazilian macroeconomic variations between 2002 and 2015 on the behavior of funds. Unlike other studies related to the theme, the emphasis was on equity movements and not on profitability. The economic environment and the performance of the Brazilian fund industry in this period were explored. Using time series, econometric ARCH / GARCH models were built. The results indicate that the productive growth reflected by Nominal GDP justifies part of the equity fluctuations of the stock, foreign exchange, multimarket and referenced DI classes. In addition, the opposite effects of real interest between equity and foreign exchange funds were captured.