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Administração e Sustentabilidade da Dívida Pública no Brasil: Uma análise para o período 1995-2007

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  • Luis Alberto Toscano Medrano

    (IPEA)

  • Mário Jorge Cardoso de Mendonça

    (IPEA)

  • Manoel Carlos Pires

    (IPEA)

Abstract

Este artigo tem por objetivo avaliar como a administração da dívida pública no Brasil afetou a sua sustentabilidade no período 1996-2007. A partir de 2003 o gerenciamento da dívida brasileira buscou alterar a combinação entre custo e risco,privilegiando o primeiro. Ao utilizar modelos Markov-Switching para captar esta mudança de comportamento em sua administração, projeta-se a dívida pública a partir de simulações de Monte Carlo. Os resultados indicam que a dívida pública brasileira pode ser considerada sustentável no médio prazo. This paper aims to evaluate how public debt management in Brazil has affected its sustainability in the 1996-2007 period. In 2003 Brazilian public debt management changed the trade off between cost minimization and risk minimization emphasizing the first element. Using a Markov-Switching model in order to model this policy change we access fiscal sustainability with Monte Carlo simulations. The results show that Brazilian public debt is sustainable in the medium run.

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Bibliographic Info

Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] with number 200807181514010.

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Date of creation: 2008
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Handle: RePEc:anp:en2008:200807181514010

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  1. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
  2. Jordi Gali & Roberto Perotti, 2003. "Fiscal Policy and Monetary Integration in Europe," NBER Working Papers 9773, National Bureau of Economic Research, Inc.
  3. James D. Hamilton & Marjorie A. Flavin, 1985. "On the Limitations of Government Borrowing: A Framework for Empirical Testing," NBER Working Papers 1632, National Bureau of Economic Research, Inc.
  4. Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
  5. John B. Taylor, 2000. "Reassessing Discretionary Fiscal Policy," Journal of Economic Perspectives, American Economic Association, vol. 14(3), pages 21-36, Summer.
  6. Fabiana Rocha, 1997. "Long-Run Limits on the Brazilian Government Debt," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 51(4), pages 447-470, October.
  7. Viviane Luporini, 2000. "Sustainability of the Brazilian Fiscal Policy and Central bank Independence," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 54(2), pages 201-226, April.
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