Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach

Detalhes bibliográficos
Autor(a) principal: Lima, Luiz Renato Regis de Oliveira
Data de Publicação: 2006
Outros Autores: Sampaio, Raquel Menezes Bezerra, Gaglianone, Wagner Piazza
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/693
Resumo: In this paper we investigate fiscal sustainability by using a quantile autoregression (QAR) model. We propose a novel methodology to separate periods of nonstationarity from stationary ones, which allows us to identify various trajectories of public debt that are compatible with fiscal sustainability. We use such trajectories to construct a debt ceiling, that is, the largest value of public debt that does not jeopardize long-run fiscal sustainability. We make out-of-sample forecast of such a ceiling and show how it could be used by Policy makers interested in keeping the public debt on a sustainable path. We illustrate the applicability of our results using Brazilian data.
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spelling Lima, Luiz Renato Regis de OliveiraSampaio, Raquel Menezes BezerraGaglianone, Wagner PiazzaEscolas::EPGEFGV2008-05-13T15:30:37Z2008-05-13T15:30:37Z2006-11-010104-8910http://hdl.handle.net/10438/693In this paper we investigate fiscal sustainability by using a quantile autoregression (QAR) model. We propose a novel methodology to separate periods of nonstationarity from stationary ones, which allows us to identify various trajectories of public debt that are compatible with fiscal sustainability. We use such trajectories to construct a debt ceiling, that is, the largest value of public debt that does not jeopardize long-run fiscal sustainability. We make out-of-sample forecast of such a ceiling and show how it could be used by Policy makers interested in keeping the public debt on a sustainable path. We illustrate the applicability of our results using Brazilian data.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;631Fiscal policyDebt ceilingQuantile autoregressionEconomiaPolítica tributária - BrasilDívida pública - BrasilEconomiaDebt ceiling and fiscal sustainability in Brazil: a quantile autoregression approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL2154.pdfapplication/pdf515223https://repositorio.fgv.br/bitstreams/cb1adb39-c176-4c09-81d5-e164436b1fc7/downloadc8cb58efc231f0810dbf1ac447c90f7fMD51TEXT2154.pdf.txt2154.pdf.txtExtracted texttext/plain101392https://repositorio.fgv.br/bitstreams/adc02a8b-cad9-4a05-999c-797fd9e71642/downloadf89db80de4c87db18ce1967b51f6497aMD56THUMBNAIL2154.pdf.jpg2154.pdf.jpgGenerated Thumbnailimage/jpeg3332https://repositorio.fgv.br/bitstreams/edea3106-e667-45ec-9d69-4b768a818952/download0dca405165c0627674d0e59631d94197MD5710438/6932023-11-08 17:06:33.535open.accessoai:repositorio.fgv.br:10438/693https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T17:06:33Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
title Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
spellingShingle Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
Lima, Luiz Renato Regis de Oliveira
Fiscal policy
Debt ceiling
Quantile autoregression
Economia
Política tributária - Brasil
Dívida pública - Brasil
Economia
title_short Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
title_full Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
title_fullStr Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
title_full_unstemmed Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
title_sort Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
author Lima, Luiz Renato Regis de Oliveira
author_facet Lima, Luiz Renato Regis de Oliveira
Sampaio, Raquel Menezes Bezerra
Gaglianone, Wagner Piazza
author_role author
author2 Sampaio, Raquel Menezes Bezerra
Gaglianone, Wagner Piazza
author2_role author
author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Lima, Luiz Renato Regis de Oliveira
Sampaio, Raquel Menezes Bezerra
Gaglianone, Wagner Piazza
dc.subject.eng.fl_str_mv Fiscal policy
Debt ceiling
Quantile autoregression
topic Fiscal policy
Debt ceiling
Quantile autoregression
Economia
Política tributária - Brasil
Dívida pública - Brasil
Economia
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Política tributária - Brasil
Dívida pública - Brasil
Economia
description In this paper we investigate fiscal sustainability by using a quantile autoregression (QAR) model. We propose a novel methodology to separate periods of nonstationarity from stationary ones, which allows us to identify various trajectories of public debt that are compatible with fiscal sustainability. We use such trajectories to construct a debt ceiling, that is, the largest value of public debt that does not jeopardize long-run fiscal sustainability. We make out-of-sample forecast of such a ceiling and show how it could be used by Policy makers interested in keeping the public debt on a sustainable path. We illustrate the applicability of our results using Brazilian data.
publishDate 2006
dc.date.issued.fl_str_mv 2006-11-01
dc.date.accessioned.fl_str_mv 2008-05-13T15:30:37Z
dc.date.available.fl_str_mv 2008-05-13T15:30:37Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/693
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/693
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;631
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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