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O Impacto da Política Fiscal nos Spreads Soberanos: A Austeridade Fiscal e a Qualidade do Ajuste

  • Katia Rocha
  • Ajax Moreira

O objetivo do estudo é analisar o papel da política fiscal na determinação do spread soberano de um grupo de 23 países emergentes no período de 1995 a 2008, focando duas questões: i) a austeridade fiscal, entendida como o acúmulo do superávit primário para uma trajetória sustentável de dívida; e ii) a qualidade do ajuste fiscal, ou seja, a composição do superávit. O estudo expande e trata de algumas limitações apresentadas em Favero e Giavazzi (2004) para o caso brasileiro, e incorpora o debate proposto em Akitoby e Stratmann (2006) sobre a qualidade do ajuste fiscal e a formação dos spreads de risco-país. Os resultados obtidos são robustos para diversas especificações de modelos quanto à austeridade fiscal, à utilização de variáveis instrumentais e aos dois bancos de dados fiscais. Os coeficientes são significativos e apresentam o sinal esperado, ou seja, a redução dos spreads soberanos é função da maior austeridade fiscal, menor endividamento e maior acúmulo de superávit via diminuição de gastos (ajuste do tipo I, basicamente em despesas correntes, em detrimento do ajuste do tipo II, por meio de aumento dos impostos e cortes no investimento público). O estudo corrobora o argumento de que, uma vez controlada pela aversão ao risco internacional, a austeridade fiscal aparece como fator relevante na determinação dos spreads soberanos de países emergentes, além de contribuir como uma potencial política pública de mitigação do efeito-contágio. The objective of this paper is to analyze the role of fiscal policy in the determinants of the sovereign spreads of a group of 23 emerging market countries in the period 1995-2008 focusing on two matters: i) fiscal policy sustainability, known as the accumulation of primary budget surplus, that keeps the debt-to-gdp ratio constant, and ii) the quality of fiscal adjustment, understand as the composition of the primary budget surplus. The paper expands and deals with some limitations in the model proposed by Favero and Giavazzi (2004) to the Brazilian case, and incorporates the debate proposed by Akitoby and Stratmann (2006) regarding the importance of the fiscal policy sustainability as well as the quality of fiscal adjustment in the term premia of sovereign spreads. The results are robust to several model's specifications, by using instrumental variables, and either one of two different database of fiscal variables. The estimates are significant and with the expected signal, i.e., the higher the fiscal sustainability, the less the debt-to-gdp ratio, the less the market risk aversion, the so-called Type I adjustment (expenditure-based mainly on current expenditures) in detriment of the Type II (tax increase and cuts in public spending), the higher the spread reduction. The paper evidence that once accounted for international financial shocks, fiscal policy sustainability plays a relevant role in determining the sovereign spreads of emerging markets besides contribute as an effective public policy that potentially mitigates spillover effects.

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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1422.

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Length: 21 pages
Date of creation: Sep 2009
Date of revision:
Handle: RePEc:ipe:ipetds:1422
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  1. Afonso, Antonio & Strauch, Rolf, 2007. "Fiscal policy events and interest rate swap spreads: Evidence from the EU," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 261-276, July.
  2. Badi H. Baltagi & James M. Griffin & Weiwen Xiong, 2000. "To Pool Or Not To Pool: Homogeneous Versus Hetergeneous Estimations Applied to Cigarette Demand," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 117-126, February.
  3. Patrick McGuire & Martijn A Schrijvers, 2003. "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
  4. Bernardin Akitoby & Thomas Stratmann, 2008. "Fiscal Policy and Financial Markets," Economic Journal, Royal Economic Society, vol. 118(533), pages 1971-1985, November.
  5. Favero, Carlo A. & Giavazzi, Francesco, 2004. "Inflation Targeting and Debt: Lessons from Brazil," CEPR Discussion Papers 4376, C.E.P.R. Discussion Papers.
  6. Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2003. "Sovereign risk premia in the European government bond market," ZEI Working Papers B 26-2003, ZEI - Center for European Integration Studies, University of Bonn.
  7. Hallerberg, Mark & Wolff, Guntram B., 2006. "Fiscal institutions, fiscal policy and sovereign risk premia," Discussion Paper Series 1: Economic Studies 2006,35, Deutsche Bundesbank, Research Centre.
  8. Gianluigi Ferrucci, 2003. "Empirical determinants of emerging market economies' sovereign bond spreads," Bank of England working papers 205, Bank of England.
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