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Avaliando os Efeitos da Política Fiscal no Brasil: Resultados de um Procedimento de Identificação Agnóstica

  • Mário Jorge Mendonça
  • Luis Alberto Medrano
  • Adolfo Sachsida

Este artigo usa dados trimestrais do período janeiro/1995 a dezembro/2007 para investigar os efeitos de choques fiscais na economia brasileira. Nós seguimos o procedimento de identificação sugerido por Mountford e Uhlig (2005) para verificar o impacto de choques no consumo corrente do governo e na receita pública líquida sobre o produto interno bruto (PIB) e a taxa de inflação. A principal vantagem desse método é que ele permite isolar o choque fiscal de outros choques que ocorrem na economia (tais como o choque de ciclo de negócios e o choque monetário). Os resultados sugerem que em resposta a um aumento inesperado do gasto do governo: a) o consumo privado aumenta; b) com uma probabilidade de 77,1%, o PIB se reduz; e c) a taxa de juros aumenta. Isso pode indicar a ocorrência de efeito crowding out entre investimento público e privado. Em relação a um choque expansionário da receita pública: a) com uma probabilidade de 56,6% ocorre uma redução do PIB no curto prazo, mas no longo prazo existe a possibilidade de uma reação positiva do PIB; e b) com uma probabilidade de 76,1%, o consumo privado é reduzido. Com relação ao efeito de choque monetário contracionista: a) o PIB e o nível de preços respondem negativamente; e b) o PIB sofre uma retração com 70,0% de probabilidade, enquanto o Índice Nacional de Preços ao Consumidor Amplo (IPCA) apresenta um declínio de 0,04%. Por fim, considerando o efeito de um choque de ciclo de negócio, observa-se que o efeito sobre o gasto público é positivo, o que pode indicar uma política fiscal pró-cíclica. This article investigates the effects of fiscal policy shock in the Brazilian economy using quarterly data during the period between January/1995 and December/2007. We follow the agnostic procedure suggested by Mountford and Uhlig (2005) to verify separately the impact of the unexpected positive impulse of current government spending and the net public revenues on some economic variables such as gross domestic product (GDP) and price index. The main advantages of this method regard it allows to isolate the fiscal impulse from the movements that comes from business cycle and the management of monetary policy. We find that in response of an expansionary shock of public expenditures the private consumption increases surely. It can indicate that there is some kind of crowding out effect with a reduction of private investment because the GDP contemporaneous decreases with 77.1 percent probability. The GDP reacts negatively with 56.6 percent probability immediately after a positive shock of the public net revenues. But in long run the probability of this response to be positive rises strongly. With 76.1 percent probability the private consumption decreases after this shock. Finally, another distinctive feature of the agnostic identification used in this paper pertains to the assessment the business cycle and monetary shock. With a 70.0 percent probability the real GDP decreases immediately after a contractionary monetary shock on the Selic rate and this effect is negative and very persistent. Further, the most likely path of the price index (IPCA) indicates a drop of 0.4 percent in this variable during the first five months after a monetary shock. Considering the business cycle, government spending is not countercyclical in a view that during an economic boom the endogenous response of expenditure of government is positive.

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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1377.

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Length: 26 pages
Date of creation: Feb 2009
Date of revision:
Handle: RePEc:ipe:ipetds:1377
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