A time-varying fiscal reaction function for Brazil

Resumo

This paper evaluates the sustainability of public debt in Brazil using monthly data from January 2003 to June 2016, based on the estimation of fiscal reaction functions with time-varying coefficients. Three estimation methods are considered: Kalman filter, penalized spline smoothing and time-varying cointegration. Besides indicating that the reaction of the primary deficit to variations in the debt/GDP ratio declined over most of the analyzed period, all these methods lead to the conclusion that the Brazilian public debt, given the parameters then in force, reached an unsustainable trajectory in the last years of the sample.

Ficha do documento

Tipo

Artigo científico

Ano

2019

Instituição

Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária

Fonte

Estudos Econômicos

Idioma

Inglês

Acesso

Não informado

DOI

10.1590/0101-41614911ecr

Identificador

oai:revistas.usp.br:article/133991

Licença

http://creativecommons.org/licenses/by-nc/4.0

Temas

Finanças PúblicasMeio Ambiente

Palavras-chave

Dívida públicaSustentabilidadeFunção de reação fiscalmodelos variantes no tempoFiltro de Kalmansuavização por spline penalizadoCointegração variante no tempopublic debtsustainabilityfiscal reaction functiontime-varying coefficientsKalman filterpenalized spline smoothingtime-varying cointegration.