Abstract Considering important studies on innovations such as those by Schumpeter (1982), Dosi (1982) and, especially, Mazzucato and Penna (2016), in which they analyzed Brazil's system of innovations, pointing out the macroeconomic regime as a major weakness, this paper’s objective is to analyze and discuss the relationships between selected macroeconomic variables (such as exchange, interest and inflation rates and industrial production) and innovations in Brazil. For this, a vector of error correction (VEC) model is estimated. The results found a negative relationship between innovation and the macroeconomic variables of interest and inflation rates, a positive relationship with industrial production and with innovation itself, and a negative relationship with a short-term exchange rate depreciation immediately after the shock but becoming positive after a few periods.