IDEAS home Printed from
   My bibliography  Save this paper

A Política Fiscal e as Taxas de Juros Domésticas nos Países Emergentes


  • Ajax Moreira
  • Katia Rocha


objetivo deste trabalho é analisar o efeito da política fiscal sobre as taxas de juros domésticas, utilizando um painel de 23 países emergentes no período de 1996 a 2008. Entre os países analisados, estão África do Sul, Argentina, Brasil, Bulgária, Cazaquistão,Chile, China, Colômbia, Egito, Equador, Filipinas, Hungria, Índia, Indonésia, Malásia,México, Peru, Polônia, Rússia, Tailândia, Turquia, Ucrânia e Venezuela. Foram utilizadas diversas taxas de juros domésticas, relativas a dois bancos de dados: i) International Finance Statistics (IFS): government bond yield, deposit rate, discount rate/bank rate, treasury bill rate,money market rate; e ii) J.P.Morgan (2006): yield do índice Government Bond Index -Emerging Markets. A variável fiscal baseou-se na medida de austeridade fiscal proposta por Fávero e Giavazzi (2004) para a necessidade de financiamento do governo, que leva em consideração a acumulação de superávit primário necessário para manter a relação dívida/produto interno bruto (PIB) constante. O resultado principal mostra que não é possível rejeitar a hipótese de que a austeridade fiscal determina o nível das taxas de juros, e que o efeito tem o sinal esperado, ou seja, um aumento de 1% na acumulação do superávit primário reduz a taxa de juros em aproximadamente 100 pontos-base em média - uma estimativa coerente com estudos similares realizados em países emergentes. The objective of this paper is to analyze the role of fiscal policy sustainability over the determinants of domestic interest rate of a group of 23 emerging market countries in the period 1996-2008. Among the analyzed countries are: South Africa, Argentina, Brazil,Bulgaria, Chile, China, Colombia, Egypt, Ecuador, Philippines, Hungry, India, Indonesia,Kazakhstan, Malaysia, Mexico, Peru, Poland, Russia, Thailand, Turkey, Ukraine and Venezuela. We have used several domestic interest rates from two databases: 1) IFS:Government Bond Yield, Deposit Rate, Discount Rate/BankRate, Treasury Bill Rate, Money Market Rate; and 2) JPMorgan (2006): yield of JPMorgan Government Bond Index- Emerging Markets. Fiscal policy sustainability was based on Fávero and Giavazzi (2004), and known as the accumulation of primary budget surplus, that keeps the debt-to-gdp ratio constant. The main result shows that is not possible to reject the hypothesis that fiscal policy sustainability determines the level of domestic interest rate and the effect has the expected signal, i.e., an increase in 1% on the accumulation of primary budget surplus reduces the domestic interest rate by roughly 100 basis point, a coherent figure with studies focusing on emerging market countries.

Suggested Citation

  • Ajax Moreira & Katia Rocha, 2009. "A Política Fiscal e as Taxas de Juros Domésticas nos Países Emergentes," Discussion Papers 1438, Instituto de Pesquisa Econômica Aplicada - IPEA.
  • Handle: RePEc:ipe:ipetds:1438

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Roberto Perotti, 2002. "Estimating the effects of fiscal policy in OECD countries," Economics Working Papers 015, European Network of Economic Policy Research Institutes.
    2. Ari Aisen & David Hauner, 2013. "Budget deficits and interest rates: a fresh perspective," Applied Economics, Taylor & Francis Journals, vol. 45(17), pages 2501-2510, June.
    3. Thomas Laubach, 2009. "New Evidence on the Interest Rate Effects of Budget Deficits and Debt," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 858-885, June.
    4. Favero, Carlo A. & Giavazzi, Francesco, 2004. "Inflation Targeting and Debt: Lessons from Brazil," CEPR Discussion Papers 4376, C.E.P.R. Discussion Papers.
    5. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," Journal of the European Economic Association, MIT Press, pages 1087-1122.
    Full references (including those not matched with items on IDEAS)


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

    Cited by:

    1. repec:nov:artigo:v:25:y:2015:i:spe:p:835-861 is not listed on IDEAS

    More about this item


    Access and download statistics


    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:ipe:ipetds:1438. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fabio Schiavinatto). General contact details of provider: .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.