A time-varying fiscal reaction function for Brazil

Detalhes bibliográficos
Autor(a) principal: Campos, Eduardo Lima
Data de Publicação: 2018
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/10438/24712
Resumo: This paper evaluates the sustainability of public debt in Brazil using monthly data from January 2003 to June 2016, based on the estimation of fiscal reaction functions with time-varying coefficients. Three estimation methods are considered: Kalman filter, penalized spline smoothing and time-varying cointegration. Besides indicating that the reaction of the primary deficit to variations in the debt/GDP ratio declined over most of the period analyzed, all these methods lead to the conclusion that the Brazilian public debt, given the parameters then in force, reached an unsustainable trajectory in the last years of the sample.
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spelling Campos, Eduardo LimaCysne, Rubens PenhaEscolas::EPGEFGV2018-09-06T12:37:51Z2018-09-06T12:37:51Z2018-05-010104-8910http://hdl.handle.net/10438/24712This paper evaluates the sustainability of public debt in Brazil using monthly data from January 2003 to June 2016, based on the estimation of fiscal reaction functions with time-varying coefficients. Three estimation methods are considered: Kalman filter, penalized spline smoothing and time-varying cointegration. Besides indicating that the reaction of the primary deficit to variations in the debt/GDP ratio declined over most of the period analyzed, all these methods lead to the conclusion that the Brazilian public debt, given the parameters then in force, reached an unsustainable trajectory in the last years of the sample.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;798Fiscal 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 (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTa-time-varying-fiscal-reaction-function-for-brazil.pdf.txta-time-varying-fiscal-reaction-function-for-brazil.pdf.txtExtracted texttext/plain67169https://repositorio.fgv.br/bitstreams/6d8f8f88-1efd-4626-8460-64b43333ac00/download6ded8a9d9e74bdb701f409e639c18f80MD54ORIGINALa-time-varying-fiscal-reaction-function-for-brazil.pdfa-time-varying-fiscal-reaction-function-for-brazil.pdfapplication/pdf1591550https://repositorio.fgv.br/bitstreams/2f2ab3b8-5eec-4d30-a30a-12d221225b9d/download3b83183f14a437f89692cb93d1f3398eMD51THUMBNAILa-time-varying-fiscal-reaction-function-for-brazil.pdf.jpga-time-varying-fiscal-reaction-function-for-brazil.pdf.jpgGenerated Thumbnailimage/jpeg3714https://repositorio.fgv.br/bitstreams/208cfc6e-18c0-4460-af20-f61bc9a81712/download9d60345d9e85114c0b00781a25887f65MD5510438/247122023-11-28 11:53:26.48open.accessoai:repositorio.fgv.br:10438/24712https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-28T11:53:26Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
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 January 2003 to June 2016, based on the estimation of fiscal reaction functions with time-varying coefficients. Three estimation methods are considered: Kalman filter, penalized spline smoothing and time-varying cointegration. Besides indicating that the reaction of the primary deficit to variations in the debt/GDP ratio declined over most of the period analyzed, all these methods lead to the conclusion that the Brazilian public debt, given the parameters then in force, reached an unsustainable trajectory in the last years of the sample.
publishDate 2018
dc.date.accessioned.fl_str_mv 2018-09-06T12:37:51Z
dc.date.available.fl_str_mv 2018-09-06T12:37:51Z
dc.date.issued.fl_str_mv 2018-05-01
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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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/24712
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/24712
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.none.fl_str_mv Ensaios Econômicos;798
dc.rights.driver.fl_str_mv 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
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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