A time-varying fiscal reaction function for Brazil

Detalhes bibliográficos
Autor(a) principal: Campos, Eduardo Lima
Data de Publicação: 2017
Outros Autores: Cysne, Rubens Penha
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/20153
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.
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spelling Campos, Eduardo LimaCysne, Rubens PenhaEscolas::EPGEFGV2018-02-05T13:35:42Z2018-02-05T13:35:42Z2017-12-010104-8910http://hdl.handle.net/10438/20153This 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.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;795Fiscal reactionReaction FunctionsPublic DebtSustainabilityFiscal reaction functionTime-varying coefficientsKalman filterPenalized spline smoothingReação fiscalEconomiaEconomiaDívida pública - BrasilBrasil - Política econômicaA time-varying fiscal reaction function for Brazilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/reportreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas 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dc.title.eng.fl_str_mv A time-varying fiscal reaction function for Brazil
title A time-varying fiscal reaction function for Brazil
spellingShingle A time-varying fiscal reaction function for Brazil
Campos, Eduardo Lima
Fiscal reaction
Reaction Functions
Public Debt
Sustainability
Fiscal reaction function
Time-varying coefficients
Kalman filter
Penalized spline smoothing
Reação fiscal
Economia
Economia
Dívida pública - Brasil
Brasil - Política econômica
title_short A time-varying fiscal reaction function for Brazil
title_full A time-varying fiscal reaction function for Brazil
title_fullStr A time-varying fiscal reaction function for Brazil
title_full_unstemmed A time-varying fiscal reaction function for Brazil
title_sort A time-varying fiscal reaction function for Brazil
author Campos, Eduardo Lima
author_facet Campos, Eduardo Lima
Cysne, Rubens Penha
author_role author
author2 Cysne, Rubens Penha
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Campos, Eduardo Lima
Cysne, Rubens Penha
dc.subject.eng.fl_str_mv Fiscal reaction
Reaction Functions
Public Debt
Sustainability
Fiscal reaction function
Time-varying coefficients
Kalman filter
Penalized spline smoothing
topic Fiscal reaction
Reaction Functions
Public Debt
Sustainability
Fiscal reaction function
Time-varying coefficients
Kalman filter
Penalized spline smoothing
Reação fiscal
Economia
Economia
Dívida pública - Brasil
Brasil - Política econômica
dc.subject.por.fl_str_mv Reação fiscal
Economia
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Dívida pública - Brasil
Brasil - Política econômica
description 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.
publishDate 2017
dc.date.issued.fl_str_mv 2017-12-01
dc.date.accessioned.fl_str_mv 2018-02-05T13:35:42Z
dc.date.available.fl_str_mv 2018-02-05T13:35:42Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/20153
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/20153
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.none.fl_str_mv Ensaios Econômicos;795
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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