Análise da relação entre a rentabilidade de fundos imobiliários e a taxa de juros no Brasil: um estudo no período de 2018 a 2023

Abstract

This study investigates the extent to which the Selic rate is associated with the profitability of Real Estate Investment Funds (FIIs), measured by the IFIX index, in Brazil between 2018 and 2023. Two monthly linear models with Newey–West robust standard errors are estimated: Model 1 (M1), which relates IFIX returns to the monthly change in the Selic over rate with contemporaneous and lagged effects, and Model 2 (M2), which adds the IPCA inflation index as a control variable. The estimations are replicated over three sub-samples — pre-COVID (2018–2019), COVID (2020), and post-COVID (2021–2023) — in addition to the full sample. The series are drawn from official sources (B3 for IFIX; BCB/SGS for Selic over; IBGE for IPCA) and harmonized to a monthly frequency. The results provide evidence of regime dependence in monetary policy transmission. In the pre-COVID window, Selic_over decreases or stability are associated with higher IFIX returns, with a lagged coefficient of ΔSelic_over = −30.55 (p = 0.087), consistent with a lower cost of capital and portfolio reallocation toward riskier assets. In 2020, the Selic loses explanatory power at the monthly frequency, while the IPCA displays a positive coefficient of +3.75 (p = 0.018), supporting FII returns given their inflation-linked income streams. In the post-COVID period, the IPCA turns negative (−1.87; p = 0.002), indicating that in a high-interest-rate, disinflationary environment, it penalizes FII returns by increasing the required rate of return for investors. In the full sample, the mix of regimes and outliers reduces significance and the adjusted R2. Overall, the relationship between the Selic and FIIs is state-dependent and varies with the monetary policy regime and the interaction between interest rates and inflation, providing practical insights for asset allocation and a research agenda on monetary policy shocks.