محیط اقتصاد کلان، ریسک کشور و عملکرد بازار سهام : مدارک و شواهد برای برزیل

The paper aims at providing empirical evidence about (i) the influence of macroeconomic variables and economic policies on country risk and (ii) the influence of macroeconomic variables and country risk on the main Brazilian index of the stock market (Ibovespa). The study analyzes the role that macroeconomic fundamentals plays, but also the role that the credibility of the regime of inflation targeting and the reputation of the central bank play in lessening country risk and in the improvement of the stock market performance. The empirical evidence was obtained through the application of ordinary least squares (OLS), generalized method of moments (GMM) and GMM systems. The results found suggest that monetary policy and public debt management, as well as credibility and reputation affect country risk and the performance of the Brazilian stock market.

Since the beginning of the 2000s, developing countries have been benefited by an extremely favorable environment in the global economy, generated by high global liquidity. Abundant global liquidity and the positive economic performance of developing countries were responsible for the lowest country risk in the history of these countries, measured by JP Morgan “Emerging Markets Bond Index Global” (EMBIG) (Rocha and Moreira, 2010). Even during the global subprime crisis, emerging countries showed greater resistance to the crisis, being the last to feel its effects. At the height of the crisis, the highest level of EMBIG was significantly lower than those recorded during the crises in Russia (1998), Brazil (1999/2002) and Argentina (2001/2002). The level of country risk in these countries quickly returned to levels below 300 basis points in mid-2009. In Brazil, one of the most important emerging economies in the world, the country risk measured by JP Morgan reached its lowest historical value in May 2007 (142 basis points). During the global financial crisis, the country risk in Brazil did not exceed 500 basis points and quickly returned to levels below 250 basis points in the second half of 2009. Considering the good performance of the Brazilian economy during the subprime crisis and the rapid recovery of the Brazilian stock market, it becomes important to analyze the influence of macroeconomic factors for the reduction of country risk and its importance for the performance of the stock market in Brazil. Due to the fact that Brazil adopted the regime of inflation targeting in 1999, and since then, fiscal and monetary authorities have been doing several efforts to keep inflation under control and enhance the performance of the economy, it is important to verify if such policies provided by the fiscal and monetary authorities, after the adoption of the regime of inflation targeting, have contributed for the reduction of the country risk and for the better performance of the stock market. Thus, this paper assesses the influence of macroeconomic variables on country risk, and as a consequence the influence of country risk on the Brazilian stock market. In this sense, considering the period from December of 2001 to September of 2010, the paper provides empirical evidence about (i) the influence of macroeconomic variables and economic policies on country risk and (ii) the influence of macroeconomic variables and country risk on the main Brazilian index of the stock market (Ibovespa). The study differs from others in the literature of determinants of country risk and stock markets performance since it analyzes the role that macroeconomic fundamentals play, but also the role that credibility and reputation play in lessening country risk and in the improvement of the stock market performance. For this purpose, the paper is organized as follows: next section presents a small review of the literature concerning the influence of macroeconomic variables on country risk and on the performance of stock markets; Section 3 presents empirical evidence through the application of ordinary least squares (OLS), generalized method of moments (GMM) and GMM systems about the relation between macroeconomic variables, country risk and the main Brazilian index of the stock market (Ibovespa). The last section shows the conclusion.

After macroeconomic stabilization that occurred as a result of the Real Plan (July 1994), the Brazilian stock market began an upward trajectory of growth and importance within the national economy. However, it was from the 2000s that Brazil began to observe better results of its stock market. The amount of daily trades recorded on the BOVESPA and the value of companies participating in the Bovespa index had significant real growth over the past 10 years. According to data from the BMF&BOVESPA, the average monthly volume of daily business reported on BOVESPA and the value of companies participating in the Bovespa index, between December 2001 and September 2010, showed, respectively, a real growth of about 492.66% and 301.12%. Furthermore, since the adoption of inflation targeting in 1999, the Brazilian economy performs better in terms of macroeconomic stability, which is important for a better risk assessment by investors. Considering that the macroeconomic environment affects country risk, and country risk influences investment decisions on stock markets, the paper analyzed the relation involving macroeconomic stability, country risk and the performance of the stock market. The findings suggest that monetary policy and public debt management, as well as the credibility of the regime of inflation targeting and the reputation of the central bank affect country risk and the main Brazilian index of the stock market (IBOVESPA). Moreover, the results suggest new insights about the influence of economic policies on the economy; pointing out that a lower perception of country risk by investors based on the improvement of macroeconomic fundamentals, encourage the entry of economic agents in the Brazilian stock market