IDEAS home Printed from https://ideas.repec.org/a/anp/econom/v15y20142174_188.html
   My bibliography  Save this article

The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy

Author

Listed:
  • Cleomar Gomes da Silva

    (Institute of Economics-Federal University of Uberlândia (IE-UFU), Brazil)

  • Manoel Carlos de Castro Pires

    (IPEA and Ministry of Finance, Brazil)

  • Fábio Henrique Bittes Terra

    (Institute of Economics-Federal University of Uberlândia (IE-UFU), Brazil)

Abstract

The aim of this paper is to study the effects of public debt management on yield curve spreads in Brazil, in order to see possible impacts on the country's economic activity. State space models, together with Kalman Filter estimators, are used for the period ranging from June 2002 to February 2012. The results indicate that increases in the issuance of fixed rate linked bonds lead to increases on yield spreads and the longer the maturity, the longer the effect. The opposite occurs when there is an increased issuance of floating rate linked bonds. Therefore, a change in the structure of the Brazilian public debt is not neutral on the yield curve, with possible impacts on the country's macroeconomic balance.

Suggested Citation

  • Cleomar Gomes da Silva & Manoel Carlos de Castro Pires & Fábio Henrique Bittes Terra, 2014. "The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 15(2), pages 174-188.
    • Handle: RePEc:anp:econom:v:15:y:2014:2:174_188
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1517758014000150#
    Download Restriction: no
    File URL: http://ac.els-cdn.com/S1517758014000150/1-s2.0-S1517758014000150-main.pdf?_tid=f76b0890-3e7b-11e4-b30f-00000aacb35e&acdnat=1410966468_c3ed8ff446056da18137aa3a6104e088
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ana Jordânia De Oliveira & Gabriel Caldas Montes & Rodolfo Nicolay, 2018. "Fiscal Credibility And Central Bank Credibility: How Do We Build Them? Empirical Evidence From Brazil," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 43, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Carlos Mauro Cárdenas Cardona & Juan Camilo Galvis Ciro, 2020. "La comunicación fiscal y sus efectos sobre los retornos de los títulos públicos: una aproximación empírica para el caso colombiano," Ensayos de Economía 18309, Universidad Nacional de Colombia Sede Medellín.
    3. Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.

    More about this item

    Keywords

    Public debt management; Fiscal and monetary policies; Kalman Filter;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:anp:econom:v:15:y:2014:2:174_188. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rodrigo Zadra Armond (email available below). General contact details of provider: https://edirc.repec.org/data/anpecea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.