Uma função de reação fiscal variante no tempo para o Brasil
DOI:
https://doi.org/10.1590/0101-41614911ecrPalavras-chave:
public debt, sustainability, fiscal reaction function, time-varying coefficients, Kalman filter, penalized spline smoothing, time-varying cointegration.Resumo
Este artigo avalia a sustentabilidade da dívida pública brasileira usando dados mensais de janeiro de 2003 a junho de 2016 com base na estimação de funções de reação fiscal cujos coeficientes variam ao longo do tempo. Consideramos três métodos de estimação: filtro de Kalman, suavização por spline penalizado e cointegração variante no tempo. Além de indicar uma redução da variação do déficit primário em resposta a variações da razão dívida/PIB ao longo da maior parte do período analisado, todos esses métodos levam à conclusão de que a dívida pública brasileira, dados os parâmetros vigentes
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Referências
Adedeji, Olumuyiwa S., and Oral Williams. "Fiscal Reaction Functions in the CFA Zone: An Analytical Perspective." IMF Working Papers, October 2007: 21.
Afonso, António, and Sebastian Hauptmeier. "Fiscal behaviour in the European Union: rules, fiscal decentralization and government indebtedness." ECB Working Paper, May 7, 2009: 47.
Akaike, Hirotugu. "Fitting autoregressive models for prediction." Annals of the institute of Statistical Mathematics, June 17, 1969: 5.
Banco Central do Brasil. Dívida líquida e bruta do governo geral. 2016. https://www3.bcb.gov.br/sgspub.
Banco Central do Brasil. "Relatório de Indicadores Fiscais de junho/2016." 2016.
—. Sistema Gerenciador de Séries Temporais (código 4189). 2016. https://www3.bcb.gov.br/sgspub.
Bierens, Herman J., and Luis Filipe Martins. "Time-Varying Cointegration." Econometric Theory, 2010: 1453-1490.
Blanchard, Olivier, Jean-Claude Chouraqui, Robert Hagemann, and Nicola Sartor. "The sustainability of fiscal policy: New answers to an old question." OECD Economic Studies, 1990.
Bohn, Henning. "Are stationarity and cointegration restrictions necessary for the intertemporal budget constraint?" Journal of Monetary Economics, 2007: 1837-1847.
Bohn, Henning. "The Behavior of U.S. Public Debt and Deficits." The Quarterly Journal of Economics (Oxford University Press) 113, no. 3 (1998): 949-963.
Boor, Carl de. A practical guide to splines. Revised. Springer, 2001.
Budina, Nina, and Sweder van Wijnbergen. "Quantitative approaches to fiscal sustainability analysis: a case study of Turkey since the crisis of 2001." World Bank Economic Review, 2008: 119-140.
Burger, Philippe, and Marina Marinkov. "Fiscal rules and regime-dependent fiscal reaction functions: The South African case." OECD Journal on Budgeting, 2012: 31.
Cantoni, Eva, and Trevor Hastie. "Degrees-of-freedom tests for smoothing splines." Biometrika, June 1, 2002: 251-263.
Cavalcanti, Marco A. F. H., and Napoleão L. C. Silva. "Dívida pública, política fiscal e nível de atividade: uma abordagem VAR para o Brasil no período 1995-2008." Economia Aplicada, Outubro/Dezembro 2010: 391-418.
Craven, Peter, and Grace Wahba. "Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation." Numerische Mathematik, December 1978: 377–403.
Davig, Troy, and Eric M. Leeper. "Endogeneous monetary policy regime change." Chap. 6 in NBER International Seminar on Macroeconomics 2006, edited by Lucrezia Reichlin and Kenneth West, 345 – 391. University of Chicago Press, 2008.
Dill, Helena Cristina. "Política fiscal, dívida pública e a atividade econômica." Master’s Essay. Paraná: Universidade Federal do Paraná, August 11, 2012.
Égert, Balász. "Fiscal Policy Reaction to the Cycle in the OECD: Pro- or Counter-cyclical?" OECD Economics Department Working Papers, May 6, 2010: 47.
Eilers, Paul H. C., and Brian D. Marx. "Flexible smoothing with B-splines and penalties (with comments and rejoinder)." Statistical Science, 1996: 89-121.
Elliot, Graham, Thomas J. Rothemberg, and James H. Stock. "Efficient tests for an autoregressive unit root." Econometrica, July 1996: 813-836.
Fincke, Bettina, and Alfred Greiner. "How to assess debt sustainability? Some theory and empirical evidence for selected euro area countries." Applied Economics, 2012: 3717-3724.
Granger, Clive William John. "Developments in the Study of Cointegrated Economic Variables." Oxford Bulletin of Economics and Statistics, August 1986: 213-218.
Greiner, Alfred, and Göran Kauermann. "Sustainability of US public debt: estimating smoothing spline regressions." Economic Modelling, March 2007: 350-364.
Hamilton, James D., and Marjorie A. Flavin. "On the limitations of government borrowing: a framework for empirical testing." American Economic Review, September 1986: 808-819.
Hamming, Richard Wesley. Numerical Methods for Scientists and Engineers. Second. New York: McGraw-Hill, Inc., 1973.
Harvey, Andrew C. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press, 1989.
Hastie, Trevor, and Robert Tibshirani. "Varying-coefficient models." Journal of the Royal Statistical Society. Series B (Methodological), 1993: 757-796.
Hastie, Trevor, Robert Tibshirani, and Jerome Friedman. The Elements of Statistical Learning. Data mining, inference and prediction. Second. New York: Springer-Verlag, 2009.
IBGE. 2016. https://seriesestatisticas.ibge.gov.br/.
Instituto Brasileiro de Economia. "Monitor do PIB/FGV." Portal IBRE. n.d. http://portalibre.fgv.br/main.jsp?lumChannelId=8A7C82C5593FD36B015D5C57E75715CA.
Issler, João Vitor, and Luiz Renato Lima. "Public debt sustainability and endogenous seigniorage in Brazil: time series evidence from 1947-92." Journal of Development Economics, June 2000: 131-147.
Jesus, Cleiton Silva de. "A Macroeconomia da Política Fiscal: Modelo Dinâmico e Evidências para o Brasil." Concurso de Monografia em Finanças Públicas. 2013. 78.
Johansen, Soren. "Statistical Analysis of Cointegration Vectors." Journal of Economic Dynamics and Control, 1988: 231-254.
Kalman, Rudolf Emil. "A New Approach to Linear Filtering and Prediction Problems." Journal of Basic Engineering, 1960: 35-45.
Kalman, Rudolf Emil, and Richard S. Bucy. "New Results in Linear Filtering and Prediction Theory." Journal of Basic Enginnering, 1961: 85-108.
Khalid, Mahmood, Wasim Shahid Malik, and Abdul Sattar. "The Fiscal Reaction Function and the Transmission Mechanism for Pakistan." The Pakistan Development Review, 2007: 435-447.
Lima, Luiz Renato, and Andrei Simonassi. "Dinâmica não-linear e sustentabilidade da dívida pública brasileira." Pesquisa e Planejamento Econômico, August 2005: 227-244.
Lopes, Denilson Torcate. "Função de reação da política fiscal e intolerância da dívida: o caso brasileiro no período pós-real." Ribeirão Preto: Universidade de São Paulo, 2007.
Luporini, Viviane. "A Sustentabilidade da Dívida Mobiliária Federal Brasileira: Uma Investigação Adicional." Análise Econômica, 2001: 69-84.
—. "Sustainability of Brazilian Fiscal Policy, Once Again: Corrective Policy Response Over Time." Estudos Econômicos, April/June 2015.
Martins, Luis Filipe. "Bootstrap Tests for Time Varying Cointegration." Econometric Reviews, 2018: 466-483.
Megale, Caio. "Fatores externos e risco-país." 27th BNDES Economics Award. Rio de Janeiro: PUC-Rio, 2003. 96.
Mello, Luiz de. "Estimating a fiscal reaction function: the case of debt sustainability in Brazil." Applied Economics, 2008: 271-284.
Mendonça, Mário Jorge Cardoso de, Cláudio Hamilton Matos dos Santos, and Adolfo Sachsida. "Revisitando a função de reação fiscal no Brasil pós-Real: uma abordagem de mudanças de regime." Estudos Econômicos, October/December 2009: 873-894.
Mutuku, Cyrus. "Assessing fiscal policy cyclicality and sustainability: a fiscal reaction function for Kenya." Journal of Economics Library, 2015: 173-191.
Ng, Serena, and Pierre Perron. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power." Econometrica, December 12, 2003: 1519-1554.
Nguyen, Pascal. "Macroeconomic factors and Japan’s industry risk." Journal of Multinational Financial Management, April 2007: 173-185.
Ourives, Lígia Helena da Cruz. "A Sustentabilidade da Dívida Pública Brasileira na Presença de Déficit Quase-Fiscal." Public Finance: VII National Treasury Award. Vol. 1. Brasília: Universidade de Brasília, 2003. 15-79.
Park, Joon Y., and Sang B. Hanh. "Cointegrating Regressions with Time Varying Coefficients." Econometric Theory, 1999: 664-703.
Penalver, Adrian, and Gregory Thwaites. "Fiscal rules for debt sustainability in emerging markets: the impact of volatility and default risk." Bank of England Working Paper, September 2006: 26.
Penha Cysne, Rubens, and Carlos Thadeu de F. Gomes. "Brasil: O Custo do Atraso no Equacionamento da Questão Fiscal." Brazilian Journal of Political Economy, October/December 2017: 704-718.
Rocha, Fabiana. "Long-run limits on the Brazilian government debt. Revista Brasileira de Economia." Revista Brasileira de Economia, October 1997: 447-470.
Simonassi, Andrei Gomes. "Função de resposta fiscal, múltiplas quebras estruturais e a sustentabilidade da dívida pública no Brasil." XXXV Encontro Nacional de Economia. Recife, 2007.
—. "Reação fiscal sob mudanças estruturais e a solvência da economia brasileira." Mimeo. Ceará: CAEN/UFC, 2013.
Song, Joonhyuk. "An Empirical Evaluation of Fiscal Sustainability Near and Far." The Korean Economic Review, 2009: 133-164.
Stoica, Tiberiu, and Alexandru Leonte. "Estimating a fiscal reaction function for Greece." International Proceedings of Economics Development and Research, 2011: 391-395.
Tesouro Nacional. "Various works." 2016.
The Annals of Statistics. "Linear smoothers and additive models (with discussion)." June 1989: 453-510.
Trehan, Bharat, and Carl E. Walsh. "Testing intertemporal budget constraints: theory and applications to U.S federal budget and current account deficits." Journal of Money, Credit and Banking, May 1991: 206-223.
Turrini, Alessandro. "Fiscal policy and the cycle in the Euro Area: the role of government revenue and expenditure." Economic Papers, May 2008.
Uctum, Merih, Thom Thurston, and Remzi Uctum. "Public debt, the unit root hypothesis and structural breaks: a multi-country analysis." Economica, January 20, 2006: 129-156.
Afonso, António, and Sebastian Hauptmeier. "Fiscal behaviour in the European Union: rules, fiscal decentralization and government indebtedness." ECB Working Paper, May 7, 2009: 47.
Akaike, Hirotugu. "Fitting autoregressive models for prediction." Annals of the institute of Statistical Mathematics, June 17, 1969: 5.
Banco Central do Brasil. Dívida líquida e bruta do governo geral. 2016. https://www3.bcb.gov.br/sgspub.
Banco Central do Brasil. "Relatório de Indicadores Fiscais de junho/2016." 2016.
—. Sistema Gerenciador de Séries Temporais (código 4189). 2016. https://www3.bcb.gov.br/sgspub.
Bierens, Herman J., and Luis Filipe Martins. "Time-Varying Cointegration." Econometric Theory, 2010: 1453-1490.
Blanchard, Olivier, Jean-Claude Chouraqui, Robert Hagemann, and Nicola Sartor. "The sustainability of fiscal policy: New answers to an old question." OECD Economic Studies, 1990.
Bohn, Henning. "Are stationarity and cointegration restrictions necessary for the intertemporal budget constraint?" Journal of Monetary Economics, 2007: 1837-1847.
Bohn, Henning. "The Behavior of U.S. Public Debt and Deficits." The Quarterly Journal of Economics (Oxford University Press) 113, no. 3 (1998): 949-963.
Boor, Carl de. A practical guide to splines. Revised. Springer, 2001.
Budina, Nina, and Sweder van Wijnbergen. "Quantitative approaches to fiscal sustainability analysis: a case study of Turkey since the crisis of 2001." World Bank Economic Review, 2008: 119-140.
Burger, Philippe, and Marina Marinkov. "Fiscal rules and regime-dependent fiscal reaction functions: The South African case." OECD Journal on Budgeting, 2012: 31.
Cantoni, Eva, and Trevor Hastie. "Degrees-of-freedom tests for smoothing splines." Biometrika, June 1, 2002: 251-263.
Cavalcanti, Marco A. F. H., and Napoleão L. C. Silva. "Dívida pública, política fiscal e nível de atividade: uma abordagem VAR para o Brasil no período 1995-2008." Economia Aplicada, Outubro/Dezembro 2010: 391-418.
Craven, Peter, and Grace Wahba. "Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation." Numerische Mathematik, December 1978: 377–403.
Davig, Troy, and Eric M. Leeper. "Endogeneous monetary policy regime change." Chap. 6 in NBER International Seminar on Macroeconomics 2006, edited by Lucrezia Reichlin and Kenneth West, 345 – 391. University of Chicago Press, 2008.
Dill, Helena Cristina. "Política fiscal, dívida pública e a atividade econômica." Master’s Essay. Paraná: Universidade Federal do Paraná, August 11, 2012.
Égert, Balász. "Fiscal Policy Reaction to the Cycle in the OECD: Pro- or Counter-cyclical?" OECD Economics Department Working Papers, May 6, 2010: 47.
Eilers, Paul H. C., and Brian D. Marx. "Flexible smoothing with B-splines and penalties (with comments and rejoinder)." Statistical Science, 1996: 89-121.
Elliot, Graham, Thomas J. Rothemberg, and James H. Stock. "Efficient tests for an autoregressive unit root." Econometrica, July 1996: 813-836.
Fincke, Bettina, and Alfred Greiner. "How to assess debt sustainability? Some theory and empirical evidence for selected euro area countries." Applied Economics, 2012: 3717-3724.
Granger, Clive William John. "Developments in the Study of Cointegrated Economic Variables." Oxford Bulletin of Economics and Statistics, August 1986: 213-218.
Greiner, Alfred, and Göran Kauermann. "Sustainability of US public debt: estimating smoothing spline regressions." Economic Modelling, March 2007: 350-364.
Hamilton, James D., and Marjorie A. Flavin. "On the limitations of government borrowing: a framework for empirical testing." American Economic Review, September 1986: 808-819.
Hamming, Richard Wesley. Numerical Methods for Scientists and Engineers. Second. New York: McGraw-Hill, Inc., 1973.
Harvey, Andrew C. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press, 1989.
Hastie, Trevor, and Robert Tibshirani. "Varying-coefficient models." Journal of the Royal Statistical Society. Series B (Methodological), 1993: 757-796.
Hastie, Trevor, Robert Tibshirani, and Jerome Friedman. The Elements of Statistical Learning. Data mining, inference and prediction. Second. New York: Springer-Verlag, 2009.
IBGE. 2016. https://seriesestatisticas.ibge.gov.br/.
Instituto Brasileiro de Economia. "Monitor do PIB/FGV." Portal IBRE. n.d. http://portalibre.fgv.br/main.jsp?lumChannelId=8A7C82C5593FD36B015D5C57E75715CA.
Issler, João Vitor, and Luiz Renato Lima. "Public debt sustainability and endogenous seigniorage in Brazil: time series evidence from 1947-92." Journal of Development Economics, June 2000: 131-147.
Jesus, Cleiton Silva de. "A Macroeconomia da Política Fiscal: Modelo Dinâmico e Evidências para o Brasil." Concurso de Monografia em Finanças Públicas. 2013. 78.
Johansen, Soren. "Statistical Analysis of Cointegration Vectors." Journal of Economic Dynamics and Control, 1988: 231-254.
Kalman, Rudolf Emil. "A New Approach to Linear Filtering and Prediction Problems." Journal of Basic Engineering, 1960: 35-45.
Kalman, Rudolf Emil, and Richard S. Bucy. "New Results in Linear Filtering and Prediction Theory." Journal of Basic Enginnering, 1961: 85-108.
Khalid, Mahmood, Wasim Shahid Malik, and Abdul Sattar. "The Fiscal Reaction Function and the Transmission Mechanism for Pakistan." The Pakistan Development Review, 2007: 435-447.
Lima, Luiz Renato, and Andrei Simonassi. "Dinâmica não-linear e sustentabilidade da dívida pública brasileira." Pesquisa e Planejamento Econômico, August 2005: 227-244.
Lopes, Denilson Torcate. "Função de reação da política fiscal e intolerância da dívida: o caso brasileiro no período pós-real." Ribeirão Preto: Universidade de São Paulo, 2007.
Luporini, Viviane. "A Sustentabilidade da Dívida Mobiliária Federal Brasileira: Uma Investigação Adicional." Análise Econômica, 2001: 69-84.
—. "Sustainability of Brazilian Fiscal Policy, Once Again: Corrective Policy Response Over Time." Estudos Econômicos, April/June 2015.
Martins, Luis Filipe. "Bootstrap Tests for Time Varying Cointegration." Econometric Reviews, 2018: 466-483.
Megale, Caio. "Fatores externos e risco-país." 27th BNDES Economics Award. Rio de Janeiro: PUC-Rio, 2003. 96.
Mello, Luiz de. "Estimating a fiscal reaction function: the case of debt sustainability in Brazil." Applied Economics, 2008: 271-284.
Mendonça, Mário Jorge Cardoso de, Cláudio Hamilton Matos dos Santos, and Adolfo Sachsida. "Revisitando a função de reação fiscal no Brasil pós-Real: uma abordagem de mudanças de regime." Estudos Econômicos, October/December 2009: 873-894.
Mutuku, Cyrus. "Assessing fiscal policy cyclicality and sustainability: a fiscal reaction function for Kenya." Journal of Economics Library, 2015: 173-191.
Ng, Serena, and Pierre Perron. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power." Econometrica, December 12, 2003: 1519-1554.
Nguyen, Pascal. "Macroeconomic factors and Japan’s industry risk." Journal of Multinational Financial Management, April 2007: 173-185.
Ourives, Lígia Helena da Cruz. "A Sustentabilidade da Dívida Pública Brasileira na Presença de Déficit Quase-Fiscal." Public Finance: VII National Treasury Award. Vol. 1. Brasília: Universidade de Brasília, 2003. 15-79.
Park, Joon Y., and Sang B. Hanh. "Cointegrating Regressions with Time Varying Coefficients." Econometric Theory, 1999: 664-703.
Penalver, Adrian, and Gregory Thwaites. "Fiscal rules for debt sustainability in emerging markets: the impact of volatility and default risk." Bank of England Working Paper, September 2006: 26.
Penha Cysne, Rubens, and Carlos Thadeu de F. Gomes. "Brasil: O Custo do Atraso no Equacionamento da Questão Fiscal." Brazilian Journal of Political Economy, October/December 2017: 704-718.
Rocha, Fabiana. "Long-run limits on the Brazilian government debt. Revista Brasileira de Economia." Revista Brasileira de Economia, October 1997: 447-470.
Simonassi, Andrei Gomes. "Função de resposta fiscal, múltiplas quebras estruturais e a sustentabilidade da dívida pública no Brasil." XXXV Encontro Nacional de Economia. Recife, 2007.
—. "Reação fiscal sob mudanças estruturais e a solvência da economia brasileira." Mimeo. Ceará: CAEN/UFC, 2013.
Song, Joonhyuk. "An Empirical Evaluation of Fiscal Sustainability Near and Far." The Korean Economic Review, 2009: 133-164.
Stoica, Tiberiu, and Alexandru Leonte. "Estimating a fiscal reaction function for Greece." International Proceedings of Economics Development and Research, 2011: 391-395.
Tesouro Nacional. "Various works." 2016.
The Annals of Statistics. "Linear smoothers and additive models (with discussion)." June 1989: 453-510.
Trehan, Bharat, and Carl E. Walsh. "Testing intertemporal budget constraints: theory and applications to U.S federal budget and current account deficits." Journal of Money, Credit and Banking, May 1991: 206-223.
Turrini, Alessandro. "Fiscal policy and the cycle in the Euro Area: the role of government revenue and expenditure." Economic Papers, May 2008.
Uctum, Merih, Thom Thurston, and Remzi Uctum. "Public debt, the unit root hypothesis and structural breaks: a multi-country analysis." Economica, January 20, 2006: 129-156.
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31-03-2019
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Copyright (c) 2019 Eduardo Campos, Rubens Penha Cysne
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Como Citar
Campos, E., & Cysne, R. P. (2019). Uma função de reação fiscal variante no tempo para o Brasil. Estudos Econômicos (São Paulo), 49(1), 5-38. https://doi.org/10.1590/0101-41614911ecr
