Um estudo sobre a influência das políticas monetárias sobre os retornos dos fundos de investimentos imobiliários brasileiros
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Data
2025-03-12
Autores
Lima Filho, Moisés Alves de
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Universidade Federal do Espírito Santo
Resumo
This study aimed to examine the influence of monetary policies, particularly the variations in interest rates and inflation, on the returns of Brazilian Real Estate Investment Funds (FIIs), checking whether this relationship differs according to the funds' classifications and segments of activity. A sample of FIIs listed on B3 from 2011 to 2023 was analyzed, using quarterly data on their returns adjusted by dividends distributed, short-term (SELIC) and long-term interest rates (DI1 Index with a five-year maturity), and inflation (IPCA and IGP-M). The approaches used were fixed-effects regressions robust to heteroscedasticity and autocorrelation, applied separately to the data from each classification, as well as to the data as a whole, inserting interactions between the explanatory variables and classifications/segments. Additionally, the robustness of the results was checked by applying a mixed-effects model, incorporating random effects at the unit and period levels, as well as random coefficients that allow the fluctuation of interest rates and inflation across groups. The results confirm the hypotheses raised that monetary policies are relevant to explain the returns of Brazilian Real Estate Investment Funds, but specifically for Equity and Mortgage, interest rates are detrimental and beneficial to their returns, respectively. The analysis of the influence on the segments did not show significant differences, which refuted the hypothesis that monetary policies influence FII returns more (or less) depending on the segment in which their assets are located. This study contributes to the literature by investigating this relationship in an emerging market like Brazil, with a specific focus on the differences between FIIs. The research also stands out for using a hierarchical model (with mixed effects), allowing for a more robust analysis considering the considerable heterogeneity among the groups (classifications and segments).
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Fundos de Investimento Imobiliário (FIIs) , Retornos , Políticas monetárias , Real Estate Investment Funds (REITs) , Returns , Monetary policies