A time-varying fiscal reaction function for Brazil

Resumo

This paper evaluates the sustainability of public debt in Brazil using monthly data from the period between January 2003 and June 2016, based on estimation of fiscal reaction functions with time-varying coefficients. Three methods are considered: Kalman filter, penalized spline smoothing, and time-varying cointegration. Although the Kalman filter shows the best statistical results, all methods indicate that the fiscal reaction declined over almost the entire period considered, and lead to the conclusion that the Brazilian public debt, observing the parameters then in force, reaches an unsustainable trajectory in the last years of the study.

Ficha do documento

Tipo

Relatório

Ano

2017

Instituição

Escola de Pós-Graduação em Economia da FGV

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/20153

Temas

EconomiaFinanças Públicas

Palavras-chave

Fiscal reactionReaction FunctionsPublic DebtSustainabilityFiscal reaction functionTime-varying coefficientsKalman filterPenalized spline smoothingReação fiscalEconomiaDívida pública - BrasilBrasil - Política econômica