Análise dos efeitos da taxa selic nos mercados de fundos imobiliários, no período pré e pós-pandemia da covid-19

Abstract

This study analyzes the effects of the Selic rate on the performance of Real Estate Investment Funds (FIIs) in Brazil between 2019 and 2024, focusing on the pre- and post-Covid-19 pandemic periods. The research evaluates how changes in the Selic rate influence the IFIX, the main index representing the FII market, using non-parametric statistical methods, crosscorrelation, and cluster analysis. The results show an inverse relationship between the Selic rate and the IFIX: during periods of low interest rates, FIIs tend to perform better, while increases in the Selic rate reduce their attractiveness. Additionally, it is observed that the impacts of changes in monetary policy are not immediate, taking up to two weeks to be reflected in the market. The study also identifies distinct behaviors between brick-and-mortar FIIs (physical properties) and paper FIIs (real estate credit), reinforcing the importance of diversification in investment portfolios. Finally, it highlights the need for investors to monitor Central Bank decisions, as the dynamics of the Selic rate significantly influence the real estate fund market, albeit with a time lag.