Dívida pública ótima e a conexão entre crescimento econômico, desenvolvimento financeiro e ciclos fiscais: Evidências empíricas para a economia brasileira
DOI:
https://doi.org/10.55532/1806-8944.2021.130Palavras-chave:
Ciclos fiscais, crescimento econômico, ciclo de crédito, GMM, Nível ótimo da dívida públicaResumo
Este artigo avalia os efeitos da política fiscal, com base em variáveis de ciclos fiscais, além dos efeitos dos ciclos de crédito nominal e real, sobre o crescimento econômico considerando-se séries temporais mensais de 1996:03 a 2020:06. Com base em modelos de equações simultâneas, via GMM, obteve-se os seguintes resultados empíricos. De um lado, os ciclos do superávit primário (%PIB) respondem positivamente aos ciclos da dívida pública (%PIB). Por outro lado, o ciclo do superávit primário e o ciclo da diferença entre a taxa de juros real e a taxa de crescimento têm impactos negativo e positivo respectivamente sobre o ciclo da dívida pública (%PIB). Além disso, a taxa de crescimento da economia é afetada positivamente pelos ciclos do crédito e do superávit primário (%PIB) e negativamente pela dívida pública. Finalmente, com base em modelos de Cointegração, o nível ótimo da dívida pública situa-se entre 26% e 27% do PIB.
Referências
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Hamilton, James D. (1994). Time Series Analysis. Princeton University Press, Princeton, New Jersey.
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Hodrick, R. J. e Prescott, E. C. (1997). Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit and Banking, Vol. 29, No. 1, Feb., pp. 1-16.
Johnston, J e Dinardo, J. (1997). Econometric Methods, New York, McGrall-Hill.
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Johansen, Søren (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models. Oxford. University Press.
Longstaff, Francis A. (2010). The subprime credit crisis and contagion in financial markets. Journal of Financial Economics, Issue 3, Vol. 97, September, pp. 436-450
Luporini, V. (2006). Conceitos de sustentabilidade fiscal, TD No 189, Universidade Federal Fluminense, maio.
Mendonça, Mário J. Cardoso, Santos, Cláudio Hamilton M. e Sachsida, Adolfo (2009). Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime. Estudos Econômicos, São Paulo, v. 39, n. 4, p. 873-894, outubro - dezembro.
Moreira, Tito B. S. (2011). Brazil: an empirical study on fiscal policy transmission. CEPAL Review No. 103, April, pp. 187 – 2005.
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Newey W, West K. (1987b). A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, pp. 703–708.
Nyasha, S. e Odhiambo, N. (2018). Financial Development and Economic Growth Nexus: Revisionist Approach. Economic Notes, Review of Banking, Finance and Monetary Economics, Vol. 47, No 1, pp. 223 – 229.
Park, Joon Y. (1992). Canonical cointegrating regression. Econometrica 60, pp. 119–143.
Pereira, Paulo T., Afonso, A., Arcanjo, M. e Santos, Jose C. G. (2009). Economia e Finanças Públicas, 3ª Edição, Escolar Editora, pp. 520 – 542.
Phillips, Peter C.B., Hansen, Bruce E. (1990). Statistical interference in instrumental variable regression with I (Aghion et al., 1999) process. Rev. Econ. Stud. 57, pp. 99–125.
Phillips, Peter C.B., Hansen, Bruce E. (1995). Fully modified least squares and vector autoregression. Econometrica 63 (5), pp. 1023–1078.
Rebelo, Sergio T. (1991). Long-Run Policy Analysis and Long-Run Growth, Journal of Political Economy, 99(3), 500–521.
Romer, Paul M. (1987). Crazy Explanations for the Productivity Slowdown. In NBER, 1994, Macroeconomics Annual. Edited by Stanley Fisher. Cambridge, Mass. MIT Press.
ROMER, Paul M. (1990). Endogenous Technological change. The journal of Political Economy, The university of Chicago Press, v. 98, p.S71- S102.
Romer, Paul M. (1994). The Origins of Endogenous Growth, The Journal of Economic Perspectives, Vol. 8, No. 1 (Winter), pp. 3-22.
Saikkonen, Pentti (1992). “Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation,” Econometric Theory, 8, 1-27.
Sargent, T. J. e Wallace N. (1981). Some unpleasant monetarist arithmetic, Federal Reserve Bank of Minneapolis Quarterly Review, volume 5, No 3.
Spaventa, L. (1987). The Growth of Public Debt, IMF Staff Papers, No 34, Vol 2, pp. 374 – 399.
Stock JH, Yogo M. (2005). Testing for Weak Instruments in Linear IV Regression. In Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, ed. Andrews DW, Stock JH, pp. 80–108. Cambridge University Press.
Stock, James H., Watson, Mark (1993). A simple estimation of cointegrating vectors in higher order integrated system. Econometrica 61, 783–820, (1993).
Tabak, Benjamin M. ; Moreira, Tito B. S. ; Fazio, D. M. ; Cavalcanti, A. L. C. ; Cunha, G. H. M. (2016). Monetary Expansion and the Banking Lending Channel. Plos One, v. 11.
Tiryaki, G. F.; Gavazza, I. O.; Andrade, C. M.; Mota, A. L. (2017). Ciclos de crédito, inadimplência e as flutuações econômicas no Brasil. Revista de Economia Contemporânea,Vol. 21, No. 1, pp. 1-33, jan-abr.
Barajas, Adolfo; Chami, Ralph e Yousefi, Seyed Reza (2013). The Finance and Growth Nexus Re-Examined: Do All Countries Benefit Equally? IMF Working Paper, WP/13/130, May.
Born, H. (1998). The behavior of U.S. public debt and deficits, The Quarterly Journal of Economics, volume 113, issue 3, Cambridge, MIT.
Buiter, W. (1985). A Guide to Public Sector and Deficits, Economic Policy, No. 1, pp. 13 – 79.
Campos, E. Lima e Cysne, R. Penha (2019). An alert on the recent fall of the fiscal reaction in Brazil. Brazilian Journal of Political Economy, vol. 39, nº 2 (155), pp. 253-262, April-June.
Cragg JG, Donald SG. (1993). Testing Identifiability and Specification in Instrumental Variables Models. Econometric Theory 9: pp. 222–240.
Fisher, I. (1930). The theory of interest, New York, Macmillan.
Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica, 37, pp. 424–438.
Hamilton, James D. (1994). Time Series Analysis. Princeton University Press, Princeton, New Jersey.
Hsiao, C. (1997a). Statistical properties of the two-stage least squares estimator under co-integration. The Review of Economic Studies, volume 64, issue 3, N.Y.
Hsiao, C. (1997b). Co-integration and dynamic simultaneous equations models, Econometrica, vol. 65, No. 3, N.Y., The Econometric Society.
Hodrick, R. J. e Prescott, E. C. (1997). Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit and Banking, Vol. 29, No. 1, Feb., pp. 1-16.
Johnston, J e Dinardo, J. (1997). Econometric Methods, New York, McGrall-Hill.
Johansen, Søren (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamic and Control. Vol. 12, Issues 2-3, June–September, Pages 231-254.
Johansen, Søren (1991). "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models". Econometrica. Vol. 59 (6), November: pp. 1551–1580.
Johansen, Søren (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models. Oxford. University Press.
Longstaff, Francis A. (2010). The subprime credit crisis and contagion in financial markets. Journal of Financial Economics, Issue 3, Vol. 97, September, pp. 436-450
Luporini, V. (2006). Conceitos de sustentabilidade fiscal, TD No 189, Universidade Federal Fluminense, maio.
Mendonça, Mário J. Cardoso, Santos, Cláudio Hamilton M. e Sachsida, Adolfo (2009). Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime. Estudos Econômicos, São Paulo, v. 39, n. 4, p. 873-894, outubro - dezembro.
Moreira, Tito B. S. (2011). Brazil: an empirical study on fiscal policy transmission. CEPAL Review No. 103, April, pp. 187 – 2005.
Moreira, Tito B. S.; Benjamin Miranda Tabak ; Mendonça, Mario Jorge C. ; Sachsida, Adolfo (2016) . An Evaluation of the Non-Neutrality of Money. Plos One, v. 11, p. e0145710, 2016.
Newey W, West K. (1987a). Hypothesis testing with efficient method of moments estimation. International Economics Review, 28, pp. 777–787.
Newey W, West K. (1987b). A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, pp. 703–708.
Nyasha, S. e Odhiambo, N. (2018). Financial Development and Economic Growth Nexus: Revisionist Approach. Economic Notes, Review of Banking, Finance and Monetary Economics, Vol. 47, No 1, pp. 223 – 229.
Park, Joon Y. (1992). Canonical cointegrating regression. Econometrica 60, pp. 119–143.
Pereira, Paulo T., Afonso, A., Arcanjo, M. e Santos, Jose C. G. (2009). Economia e Finanças Públicas, 3ª Edição, Escolar Editora, pp. 520 – 542.
Phillips, Peter C.B., Hansen, Bruce E. (1990). Statistical interference in instrumental variable regression with I (Aghion et al., 1999) process. Rev. Econ. Stud. 57, pp. 99–125.
Phillips, Peter C.B., Hansen, Bruce E. (1995). Fully modified least squares and vector autoregression. Econometrica 63 (5), pp. 1023–1078.
Rebelo, Sergio T. (1991). Long-Run Policy Analysis and Long-Run Growth, Journal of Political Economy, 99(3), 500–521.
Romer, Paul M. (1987). Crazy Explanations for the Productivity Slowdown. In NBER, 1994, Macroeconomics Annual. Edited by Stanley Fisher. Cambridge, Mass. MIT Press.
ROMER, Paul M. (1990). Endogenous Technological change. The journal of Political Economy, The university of Chicago Press, v. 98, p.S71- S102.
Romer, Paul M. (1994). The Origins of Endogenous Growth, The Journal of Economic Perspectives, Vol. 8, No. 1 (Winter), pp. 3-22.
Saikkonen, Pentti (1992). “Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation,” Econometric Theory, 8, 1-27.
Sargent, T. J. e Wallace N. (1981). Some unpleasant monetarist arithmetic, Federal Reserve Bank of Minneapolis Quarterly Review, volume 5, No 3.
Spaventa, L. (1987). The Growth of Public Debt, IMF Staff Papers, No 34, Vol 2, pp. 374 – 399.
Stock JH, Yogo M. (2005). Testing for Weak Instruments in Linear IV Regression. In Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, ed. Andrews DW, Stock JH, pp. 80–108. Cambridge University Press.
Stock, James H., Watson, Mark (1993). A simple estimation of cointegrating vectors in higher order integrated system. Econometrica 61, 783–820, (1993).
Tabak, Benjamin M. ; Moreira, Tito B. S. ; Fazio, D. M. ; Cavalcanti, A. L. C. ; Cunha, G. H. M. (2016). Monetary Expansion and the Banking Lending Channel. Plos One, v. 11.
Tiryaki, G. F.; Gavazza, I. O.; Andrade, C. M.; Mota, A. L. (2017). Ciclos de crédito, inadimplência e as flutuações econômicas no Brasil. Revista de Economia Contemporânea,Vol. 21, No. 1, pp. 1-33, jan-abr.
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17-05-2021
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Silva Moreira, T. B. (2021). Dívida pública ótima e a conexão entre crescimento econômico, desenvolvimento financeiro e ciclos fiscais: Evidências empíricas para a economia brasileira . CADERNOS DE FINANÇAS PÚBLICAS , 21(01). https://doi.org/10.55532/1806-8944.2021.130
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