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Choque Fiscal e a Dinâmica da Estrutura a Termo da Taxa de Juros no Brasil

Author

Listed:
  • Ajax Moreira
  • Katia Rocha

Abstract

O presente estudo propõe um modelo de macrofinanças para analisar os impactos de choques fiscais nos movimentos da curva de juros no Brasil (estrutura a termo) no período de 1999 até 2010. A política fiscal explica uma proporção maior da variância dos vértices de longo prazo (25% do vértice de cinco anos) comparada aos vértices de curto prazo (13% do vértice de um mês); enquanto a política monetária explica uma proporção maior da variância dos vértices de curto prazo (23% do vértice de um mês) comparada aos de longo prazo (6% do vértice de cinco anos). A austeridade fiscal, representada pelo aumento do superávit primário, reduz as taxas de juros, com efeito maior nas taxas mais longas, enquanto a política monetária, representada pelo aumento da taxa do Sistema Especial de Liquidação e de Custódia (SELIC), aumenta marginalmente todas as taxas, com maior efeito sobre as taxas curtas. Os resultados obtidos são robustos à alteração da escolha das variáveis observadas, ao número de defasagens do modelo, e às hipóteses de identificação dos choques. O estudo sugere que a política fiscal representa boa parte da evolução da curva de juros brasileira, principalmente os movimentos relacionados aos juros de longo prazo e indica os limites de atuação da política monetária e do Banco Central do Brasil (BCB) no controle das taxas de juros e da inflação, além de contribuir para o debate acerca do impacto dos choques fiscais sobre as taxas de juros. The study presents a macro-finance model to analyze the impacts of a fiscal policy shock in the Brazilian term structure of interest rate in the period 1999-2010. Fiscal policy explains a higher proportion of the long-term interest rate variance (25% of the five years rate) comparing to the short-term interest rate (13% of the one month rate); while the monetary policy explains a higher proportion of the short-term variance (23% of the one month rate) comparing to the long-term interest rate (6% of the five years i. The English versions of the abstracts in this working paper has not been reviewed by Ipea?s editorial department. As versões em língua inglesa das sinopses (abstracts) desta coleção não são objeto de revisão pelo Editorial do Ipea. rate). Fiscal policy austerity, represented by an increase in the primary budget surplus, reduces interest rate in general, especially the long-term rate, while the monetary policy, represented by an increase in the SELIC rate increases especially the short-term rate. The results are robust regarding the observed variables choice, to the number of lags in the model, and to the identification hypothesis. The study suggests that fiscal policy represents a large part of the evolution of the Brazilian term structure of interest rate, especially movements related to long-term rate, and indicates the limits of the Monetary Authority and the Central Bank in controlling interest rates and inflation, while contributes to the debate regarding the impact of fiscal shocks over interest rate.

Suggested Citation

  • Ajax Moreira & Katia Rocha, 2011. "Choque Fiscal e a Dinâmica da Estrutura a Termo da Taxa de Juros no Brasil," Discussion Papers 1575, Instituto de Pesquisa Econômica Aplicada - IPEA.
  • Handle: RePEc:ipe:ipetds:1575
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