Ciclos econômicos e risco de insolvência nas empresas brasileiras de capital aberto

Abstract

This study aims to analyze the effects of the phases of economic cycles on the insolvency risk of Brazilian publicly traded companies. Panel data regressions with fixed and dynamic effects were estimated using GMM–System. The insolvency risk model by Altman, Baidya, and Dias (1979) was used in the empirical tests, while Schumpeter's (1939) methodology was applied to identify the phases of economic cycles: expansion, recession, contraction, and recovery. The analysis is based on a sample of 258 companies and 2,438 observations from 2010 to 2022. Data were obtained from the Economatica database and the Brazilian Institute of Geography and Statistics (IBGE). The results show that insolvency risk responds to the economic cycle in an asymmetric and lagged manner: expansion and recession are associated with lower risk, while contraction and recovery increase the risk, suggesting a cumulative effect. The study contributes by demonstrating that interpreting the phases around the GDP trend requires considering the timing and the legacy of the previous regime, as well as highlighting the structural heterogeneity among firms. Practically, the findings suggest calibrating policies and regulation for contraction and recovery; guiding companies toward countercyclical management of liquidity, working capital, and capital structure; and encouraging investors and creditors to incorporate phases and lags into credit pricing, covenants, and monitoring. Finally, it is recommended to include economic policy uncertainty and market sentiment as conditioning factors of solvency.