Fiscal vulnerability in Brazil: a simulated method of moments approach
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | |
Tipo de documento: | Relatório |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/24713 |
Resumo: | This article estimates a structural macroeconomic model of the Brazilian economy, with emphasis on the exchange rate, interest rate, inflation and public debt risk premium. The aim is to assess the effect of different fiscal trajectories on the solvency of the public debt and possible episodes of fiscal vulnerability (defined here as a situation where the government’s fiscal precariousness prevents the central bank, in certain contexts, from reducing inflation by raising the basic interest rate). The change in relation to the usual case is the inclusion of a measure of the endogenous variation of the debt risk premium. To get around the usual problem of endogeneity in estimating a system of structural equations, we use the simulated method of moments (McFadden, 1989). Besides being more flexible than the techniques usually applied in the literature, this method enables stochastic projections under different macroeconomic settings to be obtained. We use alternative fiscal scenarios, associating each one with different likelihoods of fiscal vulnerability generated by the resulting distinct evolutions of the debt/GDP ratio. |
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Campos, Eduardo LimaCysne, Rubens PenhaEscolas::EPGEFGV2018-09-06T12:48:36Z2018-09-06T12:48:36Z2018-08-010104-8910http://hdl.handle.net/10438/24713This article estimates a structural macroeconomic model of the Brazilian economy, with emphasis on the exchange rate, interest rate, inflation and public debt risk premium. The aim is to assess the effect of different fiscal trajectories on the solvency of the public debt and possible episodes of fiscal vulnerability (defined here as a situation where the government’s fiscal precariousness prevents the central bank, in certain contexts, from reducing inflation by raising the basic interest rate). The change in relation to the usual case is the inclusion of a measure of the endogenous variation of the debt risk premium. To get around the usual problem of endogeneity in estimating a system of structural equations, we use the simulated method of moments (McFadden, 1989). Besides being more flexible than the techniques usually applied in the literature, this method enables stochastic projections under different macroeconomic settings to be obtained. We use alternative fiscal scenarios, associating each one with different likelihoods of fiscal vulnerability generated by the resulting distinct evolutions of the debt/GDP ratio.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;800Fiscal vulnerabilityFiscal dominanceSimulated method of momentsInterest ratesPass-throughExchange rateInflationEconomiaTaxa de jurosEconomiaDívida pública - BrasilBrasil - Política econômicaTaxas de jurosFiscal vulnerability in Brazil: a simulated method of moments approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/reportreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTfiscal-vulnerability-in-brazil-a-simulated-method-of-moments-approach.pdf.txtfiscal-vulnerability-in-brazil-a-simulated-method-of-moments-approach.pdf.txtExtracted texttext/plain82353https://repositorio.fgv.br/bitstreams/d8f4ae8d-335e-48a3-b892-c90ea3b74b92/downloadba14d26479550f8fa544b761708db927MD54ORIGINALfiscal-vulnerability-in-brazil-a-simulated-method-of-moments-approach.pdffiscal-vulnerability-in-brazil-a-simulated-method-of-moments-approach.pdfapplication/pdf1344311https://repositorio.fgv.br/bitstreams/d42ed22d-a6d3-4174-bb1a-f818fc30fc03/download4582d5c0d95b0e45e4daf2664230f088MD51THUMBNAILfiscal-vulnerability-in-brazil-a-simulated-method-of-moments-approach.pdf.jpgfiscal-vulnerability-in-brazil-a-simulated-method-of-moments-approach.pdf.jpgGenerated Thumbnailimage/jpeg3816https://repositorio.fgv.br/bitstreams/4799f95b-db85-4352-8c6e-de2cb55e6dc4/downloadb9b213ff504f419b321b3665d46ad191MD5510438/247132023-11-28 11:53:04.013open.accessoai:repositorio.fgv.br:10438/24713https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-28T11:53:04Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Fiscal vulnerability in Brazil: a simulated method of moments approach |
title |
Fiscal vulnerability in Brazil: a simulated method of moments approach |
spellingShingle |
Fiscal vulnerability in Brazil: a simulated method of moments approach Campos, Eduardo Lima Fiscal vulnerability Fiscal dominance Simulated method of moments Interest rates Pass-through Exchange rate Inflation Economia Taxa de juros Economia Dívida pública - Brasil Brasil - Política econômica Taxas de juros |
title_short |
Fiscal vulnerability in Brazil: a simulated method of moments approach |
title_full |
Fiscal vulnerability in Brazil: a simulated method of moments approach |
title_fullStr |
Fiscal vulnerability in Brazil: a simulated method of moments approach |
title_full_unstemmed |
Fiscal vulnerability in Brazil: a simulated method of moments approach |
title_sort |
Fiscal vulnerability in Brazil: a simulated method of moments approach |
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 vulnerability Fiscal dominance Simulated method of moments Interest rates Pass-through Exchange rate Inflation |
topic |
Fiscal vulnerability Fiscal dominance Simulated method of moments Interest rates Pass-through Exchange rate Inflation Economia Taxa de juros Economia Dívida pública - Brasil Brasil - Política econômica Taxas de juros |
dc.subject.por.fl_str_mv |
Economia Taxa de juros |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Dívida pública - Brasil Brasil - Política econômica Taxas de juros |
description |
This article estimates a structural macroeconomic model of the Brazilian economy, with emphasis on the exchange rate, interest rate, inflation and public debt risk premium. The aim is to assess the effect of different fiscal trajectories on the solvency of the public debt and possible episodes of fiscal vulnerability (defined here as a situation where the government’s fiscal precariousness prevents the central bank, in certain contexts, from reducing inflation by raising the basic interest rate). The change in relation to the usual case is the inclusion of a measure of the endogenous variation of the debt risk premium. To get around the usual problem of endogeneity in estimating a system of structural equations, we use the simulated method of moments (McFadden, 1989). Besides being more flexible than the techniques usually applied in the literature, this method enables stochastic projections under different macroeconomic settings to be obtained. We use alternative fiscal scenarios, associating each one with different likelihoods of fiscal vulnerability generated by the resulting distinct evolutions of the debt/GDP ratio. |
publishDate |
2018 |
dc.date.accessioned.fl_str_mv |
2018-09-06T12:48:36Z |
dc.date.available.fl_str_mv |
2018-09-06T12:48:36Z |
dc.date.issued.fl_str_mv |
2018-08-01 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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report |
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http://hdl.handle.net/10438/24713 |
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0104-8910 |
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0104-8910 |
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http://hdl.handle.net/10438/24713 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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Ensaios Econômicos;800 |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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 |
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