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