Indicadores de Risco e os Níveis de Caixa: Uma Análise das Companhias Brasileiras Sob as Variações do Risco Relacionado à Macroeconomia

Abstract

This work aims to analyze how listed Brazilian companies adjust cash levels in order to respond to fluctuations in risk indicators related to the Brazilian macroeconomy, based on the financial statements released by listed companies. The research tested a sample of 257 companies listed on [B]3 between 2014 and 2023, making a total of 7,171 observations. The data was collected in the Refinitiv database and organized into panel data that made it possible to analyze companies in different periods and identify possible variations in information over the years. The sample was lagged by one period and OLS, fixed and random effects models were used for data analysis. The results demonstrated that macroeconomic variables, such as systemic risk indicators EMBI+ and CDS, are relevant for companies to adjust cash levels, as well as it was found that economic agents anticipate decisions regarding adjustments in cash levels by indicators. Control variables such as Selic basic interest rate, GDP, company size, leverage and CGL were negatively related to company cash and were statistically significant in most models (except GDP). The other control variables, investment opportunities and liquidity, had a positive and significant relationship in most tests, as well as the segment dummies and selffinancing capacity. The results of all models, including the robustness test and additional tests, confirmed the research hypothesis that demonstrates the empirical existence of the relationship between macroeconomic risk indicators and firms' cash levels. The general conclusion reached is that Brazilian companies showed a tendency to reduce cash levels over time, except in cases where crises occurred such as the 2015-2016 technical crisis and the Covid-19 pandemic crisis, between 2020-2021. Furthermore, it was found that companies tend to choose to adjust cash levels less sharply in periods of economic stability, given that during periods of stability macroeconomic risk indicators tend to present a good outlook for the economy. Therefore, macroeconomic risk indicators constitute efficient proxies to understand movements in firms' cash levels, given that fluctuations in these indicators affect cash. The research contributed by offering empirical evidence about the association between macroeconomic variables and their possible effects in the context of Brazilian companies.