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Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime

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  • Mário Jorge Mendonça
  • Cláudio H. dos Santos
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    Abstract

    Este artigo apresenta várias especificações econométricas - notadamente modelos Markov-Switching - para a "função de reação fiscal" do setor público consolidado brasileiro após o Plano Real. Os resultados obtidos sugerem fortemente que a política fiscal no Brasil apresentou dois regimes distintos após o Plano Real, sendo que o final do ano 2000 marca o período mais provável da transição entre esses dois regimes. O regime "pós-2000" se caracteriza por uma baixa (ou mesmo nula) reação do superávit primário a variações na dívida líquida do setor público (DLSP). Em contraste, no regime anterior a 2000 (de maior volatilidade) a reação do superávit primário a variações na DLSP é bastante evidente. Observou-se, ainda, que em ambos os regimes o superávit primário parece responder positivamente a variações no produto e que em nenhum dos dois regimes o governo parece ter utilizado explicitamente a política fiscal como instrumento de controle da inflação. This article presents various econometric specifications - most notably Markov- Switching models - for the "fiscal reaction function" of the Brazilian consolidated public sector after the 1994 ?Real Plan?. The results reported here strongly suggest that a major structural break has happened in the Brazilian fiscal policy around the year 2000. Indeed, while the "reaction" of primary balance to changes in net debt appears to be weak or even null when one looks at the 2000-2007 period, the contrary happens in the (more volatile) 1995-2000 years. Our results also suggest that the primary surplus is positively correlated with output and uncorrelated with inflation in both regimes.

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    Bibliographic Info

    Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1337.

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    Length: 36 pages
    Date of creation: May 2008
    Date of revision:
    Handle: RePEc:ipe:ipetds:1337

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    1. Marcio Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data," NBER Working Papers 10336, National Bureau of Economic Research, Inc.
    2. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers.
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    8. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel Menezes Bezerra & Gaglianone, Wagner Piazza, 2006. "Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach," Economics Working Papers (Ensaios Economicos da EPGE) 631, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
    9. Fabiana Rocha & Paulo Picchetti, 2003. "Fiscal adjustment in Brazil," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(1), pages 239-252, January.
    10. Fabiana Rocha, 1997. "Long-Run Limits on the Brazilian Government Debt," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 51(4), pages 447-470, October.
    11. Steven Cook, 2004. "Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship," Applied Economics Letters, Taylor and Francis Journals, vol. 11(14), pages 879-884.
    12. Stephen Leybourne & Paul Newbold, 2003. "Spurious rejections by cointegration tests induced by structural breaks," Applied Economics, Taylor and Francis Journals, vol. 35(9), pages 1117-1121.
    13. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
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