巴西外国投资波动的决定因素

IF 0.8 4区农林科学 Q3 AGRONOMY

Biotechnologie Agronomie Societe et Environnement Pub Date : 2017-05-30 DOI:10.4013/BASE.2017.142.04

Luciano Ferreira Carvalho, F. V. Vieira, Kárem Cristina de Souza Ribeiro, Wemerson Gomes Borges

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引用次数: 1

摘要

该研究调查了1995年至2012年巴西资本流动的波动性及其决定因素。采用GARCH方法，然后进行线性回归，研究资本流动波动的决定因素。GARCH模型的结果表明，投资组合和其他外国投资的波动性比外国直接投资更大，自2004年以来波动性不断增加，在危机时期达到峰值。外国直接投资波动的主要决定因素是滞后波动、制度质量、北美股市的变化和金融危机。对于外国有价证券投资的波动性，主要决定因素是制度质量。对于其他外国投资的波动性，主要决定因素是其本身的波动性和滞后的国内生产总值增长。最后，外国投资股票的波动性在危机时期表现得更高。关键词：波动性，外国投资，金融危机。

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Determinants of foreign investment volatility in Brazil

The study investigates, from 1995 to 2012, the volatility of capital flows and their determinants in Brazil. GARCH was used as a method and then linear regressions were performed to investigate the determinants of volatility of capital flows. The results of GARCH models indicate that investments in the portfolio and other foreign investments are more volatile than foreign direct investment, with volatility increasing from 2004 on and with peaks in times of crisis. The main determinants of the volatility of FDI were lagged volatility, institutional quality, the change in the North American stock market and the financial crisis. For the volatility of Foreign Portfolio Investment, the main determinant was the institutional quality. For the volatility of Other Foreign Investments, the main determinants were volatile itself and lagged GDP growth. Finally, the volatility of Foreign Investment in stocks is shown higher in periods of crisis. Keywords: volatility, foreign investment, financial crisis.

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来源期刊

Biotechnologie Agronomie Societe et Environnement AGRONOMY-ENVIRONMENTAL SCIENCES

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： BASE publishes original papers in the fields of life sciences: environmental science and technology, forest and natural space management, agronomical science, and chemistry and bio-industries.