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Administração e Sustentabilidade da Dívida Pública no Brasil: Uma Análise para o Período 1995-2007

  • Mário Jorge Mendonça
  • Manoel Carlos de Castro Pires
  • Luiz Alberto Medrano

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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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1342.

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Length: 34 pages
Date of creation: Jul 2008
Date of revision:
Handle: RePEc:ipe:ipetds:1342
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  1. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  2. Jordi Gali & Roberto Perotti, 2003. "Fiscal Policy and Monetary Integration in Europe," NBER Working Papers 9773, National Bureau of Economic Research, Inc.
  3. 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.
  4. 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.
  5. repec:fgv:epgrbe:v:54:n:2:a:4 is not listed on IDEAS
  6. repec:fgv:epgrbe:v:51:n:4:a:2 is not listed on IDEAS
  7. John B. Taylor, 2000. "Reassessing Discretionary Fiscal Policy," Journal of Economic Perspectives, American Economic Association, vol. 14(3), pages 21-36, Summer.
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