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Dívida Líquida e Dívida Bruta: Uma Abordagem Integrada para Analizar a Trajetória e o Custo do Endividamento Brasileiro

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  • Sérgio Wulff Gobetti
  • Bernardo Patta Schettini

Abstract

Este trabalho mostra uma proposta de análise que integra a dívida pública bruta e a líquida ou, dito de outra forma, os ativos e passivos do setor público. Essa abordagem desagregada pareceu apropriada, em um contexto de mudança na estrutura patrimonial do setor público, com a aquisição de ativos internos e externos e a expansão simultânea da dívida mobiliária, principalmente por meio de operações compromissadas. Os dados utilizados neste trabalho foram obtidos através da consolidação de informações contidas em algumas das tabelas do Banco Central do Brasil (Bacen), realizando adaptações para levar em conta as mudanças metodológicas propriamente ditas e de ordem institucional, tendo sido esta engendrada pela Lei de Responsabilidade Fiscal (LRF), que cassou o direito de o Bacen emitir títulos próprios para fins de política monetária. Um modelo determinístico, que inova ao endogeneizar a taxa implícita, foi proposto para analisar o impacto de escolhas realizadas no âmbito da gestão patrimonial e das políticas fiscal e monetária sobre o nível e o custo da dívida pública. Para dar conta da composição por indexadores de cada item do passivo líquido, as projeções partem na prática de um modelo matricial. O modelo pode ser aprimorado principalmente com a introdução de um termo de incerteza estocástico e com a estimação e/ou calibração das inter-relações entre as variáveis macroeconômicas. Um resultado importante da análise empreendida é o de que a queda na dívida líquida deve ocorrer de forma mais lenta do que a usualmente projetada. A continuidade da atual estratégia de administração patrimonial possivelmente produzirá uma taxa implícita crescente nos próximos anos, ao menos que a taxa de juros básica caia substancialmente. Destacamos que isso deve implicar um custo fiscal não desprezível no médio e longo prazo. This paper addresses a disaggregated analysis which integrates gross and net public debt or, in other words, government assets and liabilities. This approach seemed appropriate due to the recent transition in the patrimonial composition of the public sector undertaken by the means of acquisitions of foreign and domestic assets with simultaneous expansion of debt securities, mainly through repurchase agreements. We used data obtained by consolidating information disclosed in some of the Central Bank tables, adjusting for methodological changes and taking account of the institutional transition resulting from the Fiscal Responsibility Law, which has forbid the Central Bank of issuing its own bonds for monetary policy purposes. A deterministic framework was offered as a means of assessing the impact of choices concerning the debt administration and the monetary and fiscal policies on the level and cost of the public debt. The model innovates to the extent that the implicit rate of interest is endogenous. In order to deal with the composition by index of each item of the net debt, in practice the simulations were matrix-oriented. The model may be improved chiefly by taking account of stochastic uncertainty and estimating and/or calibrating the interrelations among the macroeconomic variables. An important result of the analysis is that the net debt declines in a slower fashion than what is typically predicted. The current strategy of debt administration will possibly result in an increasing implicit rate for the next years, unless interest rates decline substantially. We underscore this may imply a nonnegligible fiscal cost in the medium and long term.

Suggested Citation

  • Sérgio Wulff Gobetti & Bernardo Patta Schettini, 2010. "Dívida Líquida e Dívida Bruta: Uma Abordagem Integrada para Analizar a Trajetória e o Custo do Endividamento Brasileiro," Discussion Papers 1514, Instituto de Pesquisa Econômica Aplicada - IPEA.
  • Handle: RePEc:ipe:ipetds:1514
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    Cited by:

    1. Afonso, José Roberto Rodrigues & Wulff Gobetti, Sérgio, 2015. "Impactos das reformas tributárias e dos gastos públicos sobre o cresciento e os investimentos: O caso do Brasil," Macroeconomía del Desarrollo 39363, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    2. José Roberto Afonso & Eliane Cristina Araújo, 2014. "Institutions for Macro Stability in Brazil: Inflation Targets and Fiscal Responsibility," Global Development Institute Working Paper Series iriba_wp07, GDI, The University of Manchester.

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