A Time-Varying Fiscal Reaction Function for Brazil

A Time-Varying Fiscal Reaction Function for Brazil

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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Main Authors: Campos,Eduardo Lima, Cysne,Rubens Penha
Format: Digital revista
Language:English
Published: Departamento de Economia 2019
Online Access:http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-41612019000100005
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spelling oai:scielo:S0101-416120190001000052019-03-19A Time-Varying Fiscal Reaction Function for BrazilCampos,Eduardo LimaCysne,Rubens Penha Public debt Sustainability Fiscal reaction function Time-varying models Kalman filter Penalized spline smoothing Time-varying cointegration 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.info:eu-repo/semantics/openAccessDepartamento de EconomiaFaculdade de Economia, Administração, Contabilidade e Atuária da Universidade de São Paulo (FEA-USP)Estudos Econômicos (São Paulo) v.49 n.1 20192019-03-01info:eu-repo/semantics/articletext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-41612019000100005en10.1590/0101-41614911ecr
institution SCIELO
collection OJS
country Brasil
countrycode BR
component Revista
access En linea
databasecode rev-scielo-br
tag revista
region America del Sur
libraryname SciELO
language English
format Digital
author Campos,Eduardo Lima
Cysne,Rubens Penha
spellingShingle Campos,Eduardo Lima
Cysne,Rubens Penha
A Time-Varying Fiscal Reaction Function for Brazil
author_facet Campos,Eduardo Lima
Cysne,Rubens Penha
author_sort Campos,Eduardo Lima
title A Time-Varying Fiscal Reaction Function for Brazil
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 time-varying fiscal reaction function for brazil
description 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.
publisher Departamento de Economia
publishDate 2019
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-41612019000100005
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AT cysnerubenspenha atimevaryingfiscalreactionfunctionforbrazil
AT camposeduardolima timevaryingfiscalreactionfunctionforbrazil
AT cysnerubenspenha timevaryingfiscalreactionfunctionforbrazil
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