Causalidade entre variáveis macroeconômicas e a receita bruta em empresas do segmento de agronegócio listadas na BM&FBovespa

Abstract

Currently characterized by strong globalization and outstanding regulatory pressure, the financial capital market has shown profound changes, especially the introduction of new corporations in the agribusiness interested in capital opening. Therefore, this study aimed to analyze the causal relationship between a set of macroeconomic variables and gross revenue in agribusiness sector companies listed on the Brazilian Stock Exchange (BM&FBovespa). Thus, it has selected a sample of eight public companies with active shares on the BM&FBovespa, from the quarter of 2003.1 to 2015.2, belonging to all segments handled directly or indirectly to agribusiness. As endogenous variables, it was selected five variables: Gross Revenue of the respective companies, GDP of Agriculture, Agricultural Products Price Index (IPA), Basic Interest Rate (Selic) and exchange rate (R$/US$). Thus, using the methodology of Vector Auto Regressive (VAR), the techniques of variance decomposition and impulse response function showed similar readings, that is, the GDP of Agriculture and the Agricultural Products Price Index showed a significant influence on the revenue in 7 of the eight models analyzed, especially Eucatex SA, in which the Father has come to represent over 58% of the variance decomposition from the 18th period and Klabin SA, in which the exchange rate now accounts for over 40% of the variance decomposition of forecast errors from the 12 periods after the structural shock. When compared to the Granger Causality Test (1986), the results showed some differences, and the lagged values of own recipe that caused more about herself.