A time-varying fiscal reaction function for Brazil

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-varyin...

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Autores principales:	Eduardo Campos, Rubens Penha Cysne
Formato:	article
Lenguaje:	EN PT
Publicado:	Universidade de São Paulo 2019
Materias:	Dívida pública Sustentabilidade Função de reação fiscal modelos variantes no tempo Filtro de Kalman suavização por spline penalizado Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/1ae5c62efba64faea9007b1f0c1fb578
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id	oai:doaj.org-article:1ae5c62efba64faea9007b1f0c1fb578
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spelling	oai:doaj.org-article:1ae5c62efba64faea9007b1f0c1fb5782021-11-24T14:26:28ZA time-varying fiscal reaction function for Brazil10.1590/0101-41614911ecr0101-41611980-5357https://doaj.org/article/1ae5c62efba64faea9007b1f0c1fb5782019-03-01T00:00:00Zhttps://www.revistas.usp.br/ee/article/view/133991https://doaj.org/toc/0101-4161https://doaj.org/toc/1980-5357 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. Eduardo CamposRubens Penha CysneUniversidade de São PauloarticleDívida públicaSustentabilidadeFunção de reação fiscalmodelos variantes no tempoFiltro de Kalmansuavização por spline penalizadoEconomics as a scienceHB71-74ENPTEstudos Econômicos, Vol 49, Iss 1 (2019)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	Dívida pública Sustentabilidade Função de reação fiscal modelos variantes no tempo Filtro de Kalman suavização por spline penalizado Economics as a science HB71-74
spellingShingle	Dívida pública Sustentabilidade Função de reação fiscal modelos variantes no tempo Filtro de Kalman suavização por spline penalizado Economics as a science HB71-74 Eduardo Campos Rubens Penha Cysne A time-varying fiscal reaction function for Brazil
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 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.
format	article
author	Eduardo Campos Rubens Penha Cysne
author_facet	Eduardo Campos Rubens Penha Cysne
author_sort	Eduardo Campos
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
publisher	Universidade de São Paulo
publishDate	2019
url	https://doaj.org/article/1ae5c62efba64faea9007b1f0c1fb578
work_keys_str_mv	AT eduardocampos atimevaryingfiscalreactionfunctionforbrazil AT rubenspenhacysne atimevaryingfiscalreactionfunctionforbrazil AT eduardocampos timevaryingfiscalreactionfunctionforbrazil AT rubenspenhacysne timevaryingfiscalreactionfunctionforbrazil
_version_	1718414976559874048

A time-varying fiscal reaction function for Brazil

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