Investimento direto estrangeiro e efeitos de transbordamentos no Brasil: uma aplicação dos modelos da Autoregressivos Heterocedásticos (ARCH) e modelos Auto-Regressivos Vetoriais (VAR)

Abstract

The aim of this research is to investigate the movement of FDI flows received by the Brazilian economy and the effects of the internationalization process on economic growth of the Brazilian economy. Specifically, it investigates the effects of political and macroeconomic events on the volatility of foreign direct investment flows received by the Brazilian economy through heterocedastic autoregressive models (ARCH) and intervention analysis. In addition, it investigates the effects of internationalization on economic growth of the Brazilian economy by analyzing the relationship between FDI inflows, the Brazilian direct investment flows abroad (IBD) and the Brazilian economic growth through Vectorial Auto-Regressive (VAR) models and Granger causality. The results for the ARCH models suggest that political and macro-economic events affect the volatility of FDI flows received by the Brazilian economy during the analized period. Results indicated a negative effect of the corruption scandal known as "Mensalão" and a positive effect of the "subprime crisis" and the Brazilian foreign debt payment on the volatility of the Brazilian FDI inflows. The results of the VAR model indicated that FDI inflows presented positive effects on future FDI inflows in the following three-months period. In addition, we have found that the levels of economic growth in Brazil affect its economic growth in the following months, and the effects of spillovers appear when the investments are made by Brazilians abroad after two-months, while Brazilian investments abroad are influenced by their investments in the following two periods.