O impacto dos determinantes macroeconômicos sobre o investimento produtivo dos estados brasileiros : uma análise em painel dinâmico

Abstract

This dissertation analyzes the main macroeconomic determinants of investment by Brazilian states. The objective of this study is to verify the impact of macroeconomic variables such as credit, inflation, real exchange rate, GDP per capita and trade flow on the level of investment in the period from 2008 to 2018. The hypothesis to be tested is that these variables affect differently their states, given their productive heterogeneities. Such period is used due to the availability of data related to state macroeconomic indicators. The methodology used was the dynamic GMM with an unbalanced panel and with the use of additional instrumental variables, to smooth the problem of endogeneity in the model. Annual information from the 26 federative units in Brazil, plus Brasília, was used. The dependent variable, investment, was obtained through a proxy for the production of capital goods (manufacture of machinery and equipment). The explanatory variables were the production of capital goods lagged in one period, the real interest rate, the real exchange rate, the total state credit operations, the state trade chain, the state wide consumer price index and the GDP per capita. From the results obtained in the estimation, it was possible to show that the capital goods production variables of the previous period, credit, trade flow and GDP per capita, had a positive impact on investment in the current period, being significant at 1%. Showing that current investment has a correlation with investment decisions made in the past. Credit as an essential variable for the realization of the investment, on the premise that the greater the availability of credit, the greater the possibility of increasing investments. The flow of trade, on the other hand, is an important variable for the external sector of the Brazilian economy, as as states trade more with the rest of the world, there will be a greater possibility of increasing their capital stock, turning the economy into a more dynamic environment. And GDP per capital, showing that variations in productive investment are strongly correlated with fluctuations in output. The variables, real interest rate and real exchange rate, had a negative impact and were significant, at 1% and 5%, respectively. As endorsed in the literature, a high interest rate and a appreciated exchange rate contract investment. Finally, the IPCA showed a positive correlation, however, it was not significant.