INVESTIMENTO EM RENDA FIXA E VARIÁVEL NO BRASIL: UMA ANÁLISE A PARTIR DO RISCO ECONÔMICO, POLÍTICO E FINANCEIRO

Abstract

The objective of this study was to analyze the intensity of country risk components (economic, political, and financial) on the intention to invest in fixed income and variable income, as well as to verify whether these relationships manifest in the short or long term. To achieve this, various aspects that integrate each risk component were considered, with the aim of reaching the proposed objectives through a time series study. The PRS Group was chosen as the data source for the economic, political, and financial risk variables, using the International Country Risk Guide (ICRG), which combines qualitative and quantitative analyses, providing a reliable and multidimensional measure of these risks. The ICRG has proven to be a solid tool for assessing the risk environment of different countries. Ibovespa was used as it is the main reference in studies on investments, finance, and the economy in the Brazilian stock market. The ANBIMA General Market Index (IMA-G) was selected for its relevance to fund managers, researchers, and other market participants, being one of the main indicators of fixed-income securities performance in Brazil. The Economática platform was chosen for providing a reliable source of historical and financial data, useful for econometric analyses and financial modeling. Regarding the methodology, the choice of ARDL and MQG methods was justified by the need to make the time series stationary and to deal with residual autocorrelation, respectively. The results indicated that as risk indices increase (indicating lower perceived risk), Ibovespa tends to decline, which contradicts the expected theoretical relationship that would suggest an increase in Ibovespa as perceived risk decreases. In the case of fixed income, this contradiction was not observed, given that a significant portion of this market is composed of government bonds, making the country’s risk analysis crucial in investment decisions. The coefficients found indicated that, for fixed income, political and financial factors are more relevant than economic factors. In the case of variable income, financial risk presented the highest coefficient, followed by economic risk.