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ResumoEste trabalho propõe uma nova medida de incerteza macroeconômica para o Brasil. O índice foi construído com base na metodologia de Jurado et al. (2015) utilizada na construção do índice para a economia americana. Mostramos que o aumento no nível de incerteza precede as duas últimas recessões no Brasil e que a mudança na política macroeconômica ocorrida em 2010-2011, elevou de forma substancial o nível de incerteza na economia brasileira. Nosso trabalho sugere que a medida proposta de incerteza possui potencial para analisar políticas macroeconômicas e prever recessões.Palavras-chave: Incerteza Macroeconômica; Volatilidade; Ciclos Reais de Negócios. AbstractThe paper proposes estimating a macroeconomic measure of uncertainty to Brazil. The index was constructed based on the methodology of Jurado et al. (2015) used to build the same index for the US economy. We show that an increase in the uncertainty level leads to economic recessions. Moreover, the recent macroeconomic policy adopted by the Brazilian government in 2010-2011 was followed up by substantial increase in the uncertainty level of the Brazilian economy. Our results suggest that the proposed uncertainty measure can be used to assess macroeconomic policies as well as predict economic recessions.

ABSTRACT:The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 199501, to March 20, 2012. Dynamic betas were estimated and conditional betas contributed with larger explanatory power of excess cross section returns. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for investors using Long x Short strategies.