Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy

Detalhes bibliográficos
Autor(a) principal: Anjos, Daniel
Data de Publicação: 2023
Outros Autores: Moreira, Ricardo
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/85596
Resumo: This work evaluated the effect of fiscal policy on the effectiveness of monetary policy by the Central Bank of Brazil. Using monthly data from January-2003 to January-2020, a test was conducted to gauge how the cyclicality degree of the fiscal policy – in light of the variations in the public debt – affected the variability of the short-term real interest rate. To this goal, we extracted a fiscal response index from an unobservable state variable using the Kalman filter. Applying the cointegration method and GMM estimation, the results revealed that the smoothing and effectiveness of monetary policy depend on the degree of fiscal responsiveness to the level of public indebtedness.
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spelling Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging EconomyFiscal rules and the effectiveness of monetary policy: Estimates for a large emerging economy: Estimates for a Large Emerging Economymonetary policyfiscal policyfiscal rulespublic debtInflationFiscal PoliciesDebtpolítica monetáriapolítica fiscalregras fiscaisdívida públicaInflaçãoPolíticas FiscaisDívida PúblicaThis work evaluated the effect of fiscal policy on the effectiveness of monetary policy by the Central Bank of Brazil. Using monthly data from January-2003 to January-2020, a test was conducted to gauge how the cyclicality degree of the fiscal policy – in light of the variations in the public debt – affected the variability of the short-term real interest rate. To this goal, we extracted a fiscal response index from an unobservable state variable using the Kalman filter. Applying the cointegration method and GMM estimation, the results revealed that the smoothing and effectiveness of monetary policy depend on the degree of fiscal responsiveness to the level of public indebtedness.This work evaluated the effect of fiscal policy on the effectiveness of monetary policy by the Central Bank of Brazil. Using monthly data from January–2003 to January–2020, a test was conducted to gauge how the cyclicality degree of the fiscal policy—in light of the variations in the public debt—affected the variability of the short-term real interest rate. To this goal, we extracted a fiscal response index from an unobservable state variable using the Kalman filter. Applying the cointegration method and GMM estimation, the results revealed that the smoothing and effectiveness of monetary policy depend on the degree of fiscal responsiveness to the level of public indebtedness.EGV EPGE2023-03-24info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosTextoinfo:eu-repo/semantics/otherapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/85596Revista Brasileira de Economia; Vol. 76 No. 4 (2022): OUT - DEZRevista Brasileira de Economia; v. 76 n. 4 (2022): OUT - DEZ1806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/85596/83759Brazil, 21st century Brasil, Século XXICopyright (c) 2023 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessAnjos, DanielMoreira, Ricardo2023-03-24T22:12:26Zoai:ojs.periodicos.fgv.br:article/85596Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:54.177703Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
Fiscal rules and the effectiveness of monetary policy: Estimates for a large emerging economy: Estimates for a Large Emerging Economy
title Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
spellingShingle Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
Anjos, Daniel
monetary policy
fiscal policy
fiscal rules
public debt
Inflation
Fiscal Policies
Debt
política monetária
política fiscal
regras fiscais
dívida pública
Inflação
Políticas Fiscais
Dívida Pública
title_short Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
title_full Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
title_fullStr Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
title_full_unstemmed Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
title_sort Fiscal Rules and the Effectiveness of Monetary Policy: Estimates for a Large Emerging Economy
author Anjos, Daniel
author_facet Anjos, Daniel
Moreira, Ricardo
author_role author
author2 Moreira, Ricardo
author2_role author
dc.contributor.author.fl_str_mv Anjos, Daniel
Moreira, Ricardo
dc.subject.por.fl_str_mv monetary policy
fiscal policy
fiscal rules
public debt
Inflation
Fiscal Policies
Debt
política monetária
política fiscal
regras fiscais
dívida pública
Inflação
Políticas Fiscais
Dívida Pública
topic monetary policy
fiscal policy
fiscal rules
public debt
Inflation
Fiscal Policies
Debt
política monetária
política fiscal
regras fiscais
dívida pública
Inflação
Políticas Fiscais
Dívida Pública
description This work evaluated the effect of fiscal policy on the effectiveness of monetary policy by the Central Bank of Brazil. Using monthly data from January-2003 to January-2020, a test was conducted to gauge how the cyclicality degree of the fiscal policy – in light of the variations in the public debt – affected the variability of the short-term real interest rate. To this goal, we extracted a fiscal response index from an unobservable state variable using the Kalman filter. Applying the cointegration method and GMM estimation, the results revealed that the smoothing and effectiveness of monetary policy depend on the degree of fiscal responsiveness to the level of public indebtedness.
publishDate 2023
dc.date.none.fl_str_mv 2023-03-24
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
Texto
info:eu-repo/semantics/other
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.fgv.br/rbe/article/view/85596
url https://periodicos.fgv.br/rbe/article/view/85596
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/85596/83759
dc.rights.driver.fl_str_mv Copyright (c) 2023 Revista Brasileira de Economia
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2023 Revista Brasileira de Economia
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.coverage.none.fl_str_mv Brazil, 21st century
Brasil, Século XXI
dc.publisher.none.fl_str_mv EGV EPGE
publisher.none.fl_str_mv EGV EPGE
dc.source.none.fl_str_mv Revista Brasileira de Economia; Vol. 76 No. 4 (2022): OUT - DEZ
Revista Brasileira de Economia; v. 76 n. 4 (2022): OUT - DEZ
1806-9134
0034-7140
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
_version_ 1798943115783962624

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