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Choques Fiscais E Instabilidade Financeira No Brasil: Uma Abordagem Tvar

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  • GIAN PAULO SOAVE

Abstract

Este artigo investiga os efeitos não lineares da política fiscal no Brasil sob dois diferentes regimes de condições financeiras. Emprega-se um modelo vetorial autorregressivo com limiar (Threshold Vector Autoregression-TVAR) utilizando uma variável estimada indicadora das condições de liquidez para a economia brasileira. Tal variável é estimada utilizando filtro de Kalman e métodos de ponderação dinâmica de modelos, e cobre vários aspectos financeiros. Os resultados mostram que as respostas não lineares são estado-dependentes, sendo os multiplicadores maiores e os choques mais persistentes em regime sob liquidez restrita.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Gian Paulo Soave, 2016. "Choques Fiscais E Instabilidade Financeira No Brasil: Uma Abordagem Tvar," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 045, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2014:045
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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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