Evidência empírica sobre a relação entre credibilidade fiscal e credibilidade do Banco Central: o caso brasileiro
DOI:
https://doi.org/10.1590/0101-41614914garPalavras-chave:
Política Fiscal, Política monetária, CredibilidadeResumo
A partir da década de 1990, vários países adotaram o regime de metas de inflação (RMI). Entretanto, o RMI pode não ser garantia suficiente para a disciplina fiscal, e governos podem continuar adotando políticas fiscais irresponsáveis. A adoção de políticas irresponsáveis, as quais levam à uma fraca credibilidade fiscal, enfraquece a credibilidade do banco central. No presente estudo, investigamos se existe uma correlação entre a credibilidade fiscal e a credibilidade do banco central. O trabalho contribui com a literatura uma vez que apresenta evidências empíricas acerca da relação entre credibilidade fiscal e credibilidade do banco central. A análise empírica emprega diferentes métodos econométricos (OLS, GMM e TOBIT). Os resultados sugerem uma relação positiva entre a credibilidade fiscal a credibilidade do banco central.
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Referências
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Barro, R. J. 2003. “Optimal management of indexed and nominal debt”. Annals of Economics and Finance, Society for AEF, 4 (1), 1-15.
Blinder, A. S. 2000. “Central-Bank credibility: why do we care? How do we built it?” The American Economic Review, 90 (5), 1421-1431.
Calvo, G., Guidotti, P. 1990. “Indexation and maturity of government bonds: an exploratory model.” In: R. Dornbusch and M. Draghi, Public Debt Management: Theory and History, Cambridge, Cambridge University Press.
Cragg, J. G. 1983. “More efficient estimation in the presence of heteroscedasticity of unknown form.” Econometrica, 51 (3), 751-763.
de Mendonça, H. F. 2007. “Towards credibility from inflation targeting: the Brazilian experience.” Applied Economics, 39 (20), 2599–2615.
de Mendonça, H. F., Vivian, V. S. 2008. “Public-debt management: the Brazilian experience.” CEPAL Review, 94, 145-162.
de Mendonça, H. F., de Guimarães e Souza, G. J. 2012. “Is inflation targeting a good remedy to control inflation?” Journal of Development Economics, 98 (2), 178–191.
de Mendonça, H. F., Machado, M. R. 2013. “Public Debt Management and Credibility: Evidence from an emerging economy.” Economic Modelling, 30 (1), 10-21.
de Mendonça, H. F., Pessanha, K. M. 2014. “Fiscal insurance and public debt management: Evidence for a large emerging economy.” Economia, 15 (2), 162-173.
de Mendonça H. F., Tostes F. S. 2015. “The effect of monetary and fiscal credibility on exchange rate pass-through in an emerging economy.” Open Economies Review, 26 (4), 787-816.
Drazen, A., 2000. “Political Economy in Macroeconomics.” Princeton University Press, New Jersey.
Durbin, J. 1954. “Errors in variables.” Review of the International Statistical Institute, 22, 23–32.
Giavazzi, F., Pagano M. 1990. “Confidence crises and public debt management.” In R. Dornbusch and M. Draghi, “Public Debt Management: Theory and History”, Cambridge, Cambridge University Press.
Giavazzi, F., Missale, A., 2004. Public Debt Management in Brazil. NBER Working Paper n. 10394.
Gomes, C., Pires, M. C. C., Terra, F. H. B. 2014. “The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy.” Economia, 15 (2), 174-188.
Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.” Econometrica, 37 (3), 424-438.
Hansen, L. P. 1982. “Large sample properties of generalized method of moments estimators.” Econometrica, 50 (4), 1029-1054.
Hausman, J. 1978. “Specification tests in econometrics.” Econometrica, 46 (6), 1251–1271.
Hendry, D. F. 2001. “Achievements and challenges in econometric methodology.” Journal of Econometrics, 100 (1), 7 – 10.
IMF - International Monetary Fund, 2002. “Assessing sustainability.” Prepared by the Policy Development and Review Department. In consultation with the Fiscal Affairs, International Capital Markets, Monetary and Exchange Affairs, and Research Departments, May 28.
Johnston, J. 1984. “Econometric Methods”, McGraw-Hill.
Kydland, F. E., Prescott, E. C. 1977. “Rules rather than discretion: the inconsistency of optimal plans.” Journal of Political Economy, 85 (3), 473–492.
King, M. 1995. “Commentary: Monetary policy implications of greater fiscal discipline.” In: Budget deficits and debt: issues and options. Federal Reserve Bank of Kansas City, 171-182.
Koop, G., Pesaran, M. H., Potter, S. M., 1996. Impulse response analysis in non-linear multivariate models. Journal of Econometrics, 74 (1), 119–147.
Long, J. S. 1997. “Regression models for categorical and limited dependent variables.” SAGE Publications. London.
MacKinnon, J. G., Haug, A. A., Michelis, L. 1999. “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration.” Journal of Applied Econometrics, 14 (5), 563-577.
Minella, A. Springer, P. F., Goldfajn I., Muinhos M. K. 2003. “Inflation targeting in Brazil constructing credibility under exchange rate volatility.” Journal of International Money and Finance, 22 (7), 1015–1040.
Mishkin, F. S. 2007. Monetary Policy Strategy, The MIT Press.
Mishkin, F. S., 2008. Can inflation targeting work in emerging market countries? In: Carmen M. Reinhart, Carlos A. Vegh, and Andres Velasco, “Money, Crises, and Transition: Essays in Honor of Guillermo A. Calvo”, MIT Pres.
Missale, A., Giavazzi, F., Benigno, P., 2002. How is debt managed? Learning from fiscal stabilization. The Scandinavian Journal of Economics, 104 (3), 443–469.
Montes, G. C. 2010. “Uncertainties, monetary policy and financial stability: challenges on inflation targeting.” Revista de Economia Política, 30 (1), 60-85.
Montes, G. C. 2013. “Credibility and monetary transmission channels under inflation targeting: an econometric analysis from a developing country.” Economic Modelling, 30, 670-684.
Montes, G. C., Acar, T. 2015. “Determinants of Fiscal Credibility and Country Risk in Brazil: An Empirical Analysis.” The Empirical Economics Letters, 14, 409-420.
Montes, G. C., Bastos, J. C. A. 2014. “Effects of reputation and credibility on monetary policy: theory and evidence for Brazil.” Journal of Economic Studies, 41 (3), 387-404.
Montes, G. C., Nicolay, R. T. F. 2016. “Does clarity of central bank communication affect credibility? Evidences considering governor-specific effects.” Applied Economics.
Montes, G. C., Curi, A., 2016. “The importance of credibility for the conduct of monetary policy and inflation control: theoretical model and empirical analysis for Brazil under inflation targeting.” Planejamento e Políticas Públicas, 46, 13-37.
Newey, W., West, K. 1987. “A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix.” Econometrica, 55 (3), 703-708.
Pesaran, M. H., Shin, Y. 1998. “Generalized impulse response analysis in linear multivariate models.” Economic Letters, 58 (1), 17-29.
Sargent, T. J., Wallace, N. 1981. “Some unpleasant monetarist arithmetic.” Quarterly Review Federal Reserve Bank of Minneapolis, 5 (3), 1–17.
Shirakawa, M. 2012. “The Importance of Fiscal Sustainability: Preconditions for Stability in the Financial System and in Prices.” Remarks at the Banque de France Financial Stability Review Launch Event in Washington D.C., April.
Sims, C. 1980. “Macroeconomics and reality”. Econometrica, 48 (1), 1-48.
Sims, C. 2004. “Limits to inflation targeting.” In: Bernanke B. and Woodford, M. (eds.), The inflation targeting debate, The University of Chicago Press, pp. 283– 308
Svensson, L. E .O. 2000. “How should monetary policy be conducted in an era of price stability?” NBER Working Paper, N. 7516.
Tobin, J. 1958. "Estimation of relationships for limited dependent variables". Econometrica, 26 (1), 24–36.
Walsh, C. E. 2009. “Inflation targeting: what have we learned?” International Finance, 12 (2), 195-233.
Wooldridge, J. M. 2001. “Applications of generalized method of moments estimation.” Journal of Economic Perspectives, 15 (4), 87–100.
Wu, D. M. 1973. “Alternative tests of independence between stochastic regressors and disturbances”. Econometrica, 41 (4), 733–750.
Yellen, J. 2006. “Enhancing FED credibility.” Luncheon Keynote Speech to the Annual Washington Policy Conference Sponsored by the National Association for Business Economics (NABE), Washington (D.C.).
Barro, R. J. 2003. “Optimal management of indexed and nominal debt”. Annals of Economics and Finance, Society for AEF, 4 (1), 1-15.
Blinder, A. S. 2000. “Central-Bank credibility: why do we care? How do we built it?” The American Economic Review, 90 (5), 1421-1431.
Calvo, G., Guidotti, P. 1990. “Indexation and maturity of government bonds: an exploratory model.” In: R. Dornbusch and M. Draghi, Public Debt Management: Theory and History, Cambridge, Cambridge University Press.
Cragg, J. G. 1983. “More efficient estimation in the presence of heteroscedasticity of unknown form.” Econometrica, 51 (3), 751-763.
de Mendonça, H. F. 2007. “Towards credibility from inflation targeting: the Brazilian experience.” Applied Economics, 39 (20), 2599–2615.
de Mendonça, H. F., Vivian, V. S. 2008. “Public-debt management: the Brazilian experience.” CEPAL Review, 94, 145-162.
de Mendonça, H. F., de Guimarães e Souza, G. J. 2012. “Is inflation targeting a good remedy to control inflation?” Journal of Development Economics, 98 (2), 178–191.
de Mendonça, H. F., Machado, M. R. 2013. “Public Debt Management and Credibility: Evidence from an emerging economy.” Economic Modelling, 30 (1), 10-21.
de Mendonça, H. F., Pessanha, K. M. 2014. “Fiscal insurance and public debt management: Evidence for a large emerging economy.” Economia, 15 (2), 162-173.
de Mendonça H. F., Tostes F. S. 2015. “The effect of monetary and fiscal credibility on exchange rate pass-through in an emerging economy.” Open Economies Review, 26 (4), 787-816.
Drazen, A., 2000. “Political Economy in Macroeconomics.” Princeton University Press, New Jersey.
Durbin, J. 1954. “Errors in variables.” Review of the International Statistical Institute, 22, 23–32.
Giavazzi, F., Pagano M. 1990. “Confidence crises and public debt management.” In R. Dornbusch and M. Draghi, “Public Debt Management: Theory and History”, Cambridge, Cambridge University Press.
Giavazzi, F., Missale, A., 2004. Public Debt Management in Brazil. NBER Working Paper n. 10394.
Gomes, C., Pires, M. C. C., Terra, F. H. B. 2014. “The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy.” Economia, 15 (2), 174-188.
Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.” Econometrica, 37 (3), 424-438.
Hansen, L. P. 1982. “Large sample properties of generalized method of moments estimators.” Econometrica, 50 (4), 1029-1054.
Hausman, J. 1978. “Specification tests in econometrics.” Econometrica, 46 (6), 1251–1271.
Hendry, D. F. 2001. “Achievements and challenges in econometric methodology.” Journal of Econometrics, 100 (1), 7 – 10.
IMF - International Monetary Fund, 2002. “Assessing sustainability.” Prepared by the Policy Development and Review Department. In consultation with the Fiscal Affairs, International Capital Markets, Monetary and Exchange Affairs, and Research Departments, May 28.
Johnston, J. 1984. “Econometric Methods”, McGraw-Hill.
Kydland, F. E., Prescott, E. C. 1977. “Rules rather than discretion: the inconsistency of optimal plans.” Journal of Political Economy, 85 (3), 473–492.
King, M. 1995. “Commentary: Monetary policy implications of greater fiscal discipline.” In: Budget deficits and debt: issues and options. Federal Reserve Bank of Kansas City, 171-182.
Koop, G., Pesaran, M. H., Potter, S. M., 1996. Impulse response analysis in non-linear multivariate models. Journal of Econometrics, 74 (1), 119–147.
Long, J. S. 1997. “Regression models for categorical and limited dependent variables.” SAGE Publications. London.
MacKinnon, J. G., Haug, A. A., Michelis, L. 1999. “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration.” Journal of Applied Econometrics, 14 (5), 563-577.
Minella, A. Springer, P. F., Goldfajn I., Muinhos M. K. 2003. “Inflation targeting in Brazil constructing credibility under exchange rate volatility.” Journal of International Money and Finance, 22 (7), 1015–1040.
Mishkin, F. S. 2007. Monetary Policy Strategy, The MIT Press.
Mishkin, F. S., 2008. Can inflation targeting work in emerging market countries? In: Carmen M. Reinhart, Carlos A. Vegh, and Andres Velasco, “Money, Crises, and Transition: Essays in Honor of Guillermo A. Calvo”, MIT Pres.
Missale, A., Giavazzi, F., Benigno, P., 2002. How is debt managed? Learning from fiscal stabilization. The Scandinavian Journal of Economics, 104 (3), 443–469.
Montes, G. C. 2010. “Uncertainties, monetary policy and financial stability: challenges on inflation targeting.” Revista de Economia Política, 30 (1), 60-85.
Montes, G. C. 2013. “Credibility and monetary transmission channels under inflation targeting: an econometric analysis from a developing country.” Economic Modelling, 30, 670-684.
Montes, G. C., Acar, T. 2015. “Determinants of Fiscal Credibility and Country Risk in Brazil: An Empirical Analysis.” The Empirical Economics Letters, 14, 409-420.
Montes, G. C., Bastos, J. C. A. 2014. “Effects of reputation and credibility on monetary policy: theory and evidence for Brazil.” Journal of Economic Studies, 41 (3), 387-404.
Montes, G. C., Nicolay, R. T. F. 2016. “Does clarity of central bank communication affect credibility? Evidences considering governor-specific effects.” Applied Economics.
Montes, G. C., Curi, A., 2016. “The importance of credibility for the conduct of monetary policy and inflation control: theoretical model and empirical analysis for Brazil under inflation targeting.” Planejamento e Políticas Públicas, 46, 13-37.
Newey, W., West, K. 1987. “A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix.” Econometrica, 55 (3), 703-708.
Pesaran, M. H., Shin, Y. 1998. “Generalized impulse response analysis in linear multivariate models.” Economic Letters, 58 (1), 17-29.
Sargent, T. J., Wallace, N. 1981. “Some unpleasant monetarist arithmetic.” Quarterly Review Federal Reserve Bank of Minneapolis, 5 (3), 1–17.
Shirakawa, M. 2012. “The Importance of Fiscal Sustainability: Preconditions for Stability in the Financial System and in Prices.” Remarks at the Banque de France Financial Stability Review Launch Event in Washington D.C., April.
Sims, C. 1980. “Macroeconomics and reality”. Econometrica, 48 (1), 1-48.
Sims, C. 2004. “Limits to inflation targeting.” In: Bernanke B. and Woodford, M. (eds.), The inflation targeting debate, The University of Chicago Press, pp. 283– 308
Svensson, L. E .O. 2000. “How should monetary policy be conducted in an era of price stability?” NBER Working Paper, N. 7516.
Tobin, J. 1958. "Estimation of relationships for limited dependent variables". Econometrica, 26 (1), 24–36.
Walsh, C. E. 2009. “Inflation targeting: what have we learned?” International Finance, 12 (2), 195-233.
Wooldridge, J. M. 2001. “Applications of generalized method of moments estimation.” Journal of Economic Perspectives, 15 (4), 87–100.
Wu, D. M. 1973. “Alternative tests of independence between stochastic regressors and disturbances”. Econometrica, 41 (4), 733–750.
Yellen, J. 2006. “Enhancing FED credibility.” Luncheon Keynote Speech to the Annual Washington Policy Conference Sponsored by the National Association for Business Economics (NABE), Washington (D.C.).
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31-03-2019
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Copyright (c) 2019 Gabriel Caldas Montes, Ana Jordânia de Oliveira, Rodolfo Tomás da Fonseca Nicolay
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Como Citar
Montes, G. C., Oliveira, A. J. de, & Nicolay, R. T. da F. (2019). Evidência empírica sobre a relação entre credibilidade fiscal e credibilidade do Banco Central: o caso brasileiro. Estudos Econômicos (São Paulo), 49(1), 105-129. https://doi.org/10.1590/0101-41614914gar
Atualizado em 02/08/2024