A time-varying fiscal reaction function for Brazil

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DOI:

https://doi.org/10.1590/0101-41614911ecr

Keywords:

Dívida pública, Sustentabilidade, Função de reação fiscal, modelos variantes no tempo, Filtro de Kalman, suavização por spline penalizado, Cointegração variante no tempo

Abstract

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 analyzed period, 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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Published

31-03-2019

Issue

Vol. 49 No. 1 (2019)

Section

Articles

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Copyright (c) 2019 Eduardo Campos, Rubens Penha Cysne

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

By submitting an article, the author authorizes its publication and attests that it has not been submitted to any other journal. The original article is considered final. Articles selected for publication are proofread for grammatical and orthographic errors. The journal does not pay rights for published articles. The Institute of Economic Research from the School of Economics, Business and Accounting of the University of São Paulo (Instituto de Pesquisas Econômicas da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo) owns the journal's copyright.

How to Cite

Campos, E., & Cysne, R. P. (2019). A time-varying fiscal reaction function for Brazil. Estudos Econômicos (São Paulo), 49(1), 5-38. https://doi.org/10.1590/0101-41614911ecr