MACROECONOMIC UNCERTAINTY AND ITS FISCAL EFFECTS: AN ANALYSIS FROM NATURAL LANGUAGE PROCESSING AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS (DSGE)
DOI:
https://doi.org/10.55532/1806-8944.2021.125Keywords:
Processamento de Linguagem Natural, Sentiment Analysis, Macroeconomic Uncertainty, DSGEAbstract
This work aims to analyze the effects of macroeconomic uncertainty shocks in an economy with fiscal rules. This objective will be achieved through three complementary steps. The first step seeks to measure macroeconomic uncertainty by analyzing the textual sentiment of Brazilian public debt reports. From this stage, a dictionary of terms specific to the debt context is developed and used to parameterize the Macroeconomic Uncertainty Index (MUI). Subsequently, we developed a DSGE model and estimated it using Bayesian inferential techniques. The results of this step points to a considerable influence of fiscal rule usage to control the adverse effects of macroeconomic uncertainty on the path of public liabilities. The last analysis aggregates the Macroeconomic Uncertainty Index with the structural relations of the economy, derived from the DSGE model, in an Autoregressive Vectors approach with agnostic sign identification. The results of this stage also show that a macroeconomic uncertainty shock has typical recessive effects, with a reduction in production and consumption and an increase in public debt.
References
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CALVO, G. A. Staggered prices in a utility-maximizing framework. Journal of monetary Economics, Elsevier, v. 12, n. 3, p. 383–398, 1983.
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COSTA, C. Understanding DSGE models: Theory and Applications. Vernon Press, 2018.
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JURADO, K.; LUDVIGSON, S. C.; NG, S. Measuring Uncertainty. American Economic Review, v. 105, n. 3, p. 1177–1216, mar. 2015.
KRAUSE, M. U.; MOYEN, S. Public Debt and Changing Inflation Targets. American Economic Journal: Macroeconomics, v. 8, n. 4, p. 142–176, oct. 2016.
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LIM, G. C.; MCNELIS, P. D. Macroeconomics at the Zero Lower Bound: QuasiFiscal Monetary Policy vs. Quasi-Monetary Fiscal Policy. Working Paper, 2015.
LOUGHRAN, T.; MCDONALD, B. When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. The Journal of Finance, Wiley Online Library, v. 66, n. 1, p. 35–65, 2011.
MONTES, Gabriel Caldas; NICOLAY, Rodolfo Tomás da Fonseca; ACAR, Tatiana. Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil. Journal of Economics and Business, v. 103, p. 38-60, 2019.
NOBREGA, W. C. L.; MAIA, S. F.; BESARRIA, C. D. N. Interação entre as Políticas Fiscal e Monetária: uma Análise sobre o Regime de Dominância Vigente na Economia Brasileira. Análise Econômica, v. 37, n. 74, p. 7–34, 2020.
PASTORE, A.; GAZZANO, M.; PINOTTI, M. Inflação e Crises: O Papel da Moeda. 1. ed. [S.l.]: Elsevier Brasil, 2014.
PHILLIPS, P. C. B.; PERRON, P. Testing for a unit root in time series regression. Biométrika, v. 75, n. 2, p. 335–346, 1988. ISSN 00063444.
SALTON, G.; WONG, A.; YANG, C. A Vector Space Model for Automatic Indexing. Communications of the ACM, v. 18, n. 11, p. 613–620, 1975.
SARGENT, T. J.; WALLACE, N. Some Unpleasant Monetarist Arithmetic. Federal Reserve Bank of Minneapolis Quarterly Review, v. 5, n. 3, p. 1–17, 1981.
SCHMITT-GROHÉ, S.; URIBE, M. Closing small open economy models. Journal of international Economics, Elsevier, v. 61, n. 1, p. 163–185, 2003.
SILVA, M. E. A. da; BESSARIA, C. D. N. Política Monetária e Preço dos Imóveis no Brasil: Uma Análise a partir de um Modelo DSGE. Revista Brasileira de Economia, v. 72, n. 1, p. 117–143, 2018.
SILVA, P. H. N.; BESARRIA, C. D. N.; SILVA, M. D. d. O. P. da. Mensurando o sentimento de incerteza da política econômica. São Paulo: ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia, 2019.
SIMS, C. A. Macroeconomic and Reality. Econometrica, v. 48, p. 1–48, 1980.
SUH, H. Macroprudential Policy: Its Effects and Relationship to Monetary Policy. FRB of Philadelphia working paper, 2012.
TAYLOR, John B. iDiscretion versus Policy Rules in Practice, j Carnegie Rochester Conference Series on Public Policy, December, v. 39, p. 195-214, 1993.
UHLIG, H. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics, v. 52, n. 2, p. 381–419, mar. 2005.
ZIVOT, E.; ANDREWS, D. W. K. Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, v. 10, n. 3, p. 251–270, 1992. ISSN 0735-0015.
BARBOSA, R. B. Impacto de Choques de Incerteza sobre a Situação Fiscal no Brasil. Brasília: Secretaria do Tesouro Nacional (XXIII Prêmio Tesouro Nacional), 2018.
BARBOZA, R. D. M.; ZILBERMAN, E. Os Efeitos da Incerteza sobre a Atividade Econômica no Brasil. Revista Brasileira de Economia, v. 72, n. 2, p. 144–160, 2018. ISSN 0034-7140.
BARRO, R. J. Are government bonds net wealth? Journal of political economy, The University of Chicago Press, v. 82, n. 6, p. 1095–1117, 1974.
BASU, S.; BUNDICK, B. Uncertainty Shocks in a Model of Effective Demand. Econometrica, v. 85, n. 3, p. 937–958, 2017. ISSN 0012-9682.
BERNANKE, B. S.; GERTLER, M.; GILCHRIST, S. The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, v. 1, n. PART C, p. 1341–1393, 1999.
BLANCHARD, O. Fiscal Dominance and Inflation Targeting: Lessons from Brazil. 46p. Working Paper, 2004.
BLOOM, N. The Impact of Uncertainty Shocks. Econometrica, v. 77, n. 3, p. 623–685, 2009.
BLOOM, N. et al. Really Uncertain Business Cycles. Econometrica, v. 86, n. 3, p. 1031–1065, 2018.
BORN, B.; PFEIFER, J. Policy risk and the business cycle. Journal of Monetary Economics, v. 68, p. 68–85, 2014. ISSN 03043932.
BANCO CENTRAL DO BRASIL. Relatório de Inflação - Boxe: Condicionamentos internamente consistentes para câmbio, incerteza econômica e risco-país. Brasília: Banco Central do Brasil, v. 20, n. 1, p. 73–75, 2018.
_______. Relatório de Inflação - Boxe: Incerteza e atividade econômica. Brasília: Banco Central do Brasil, v. 21, n. 3, p. 59–63, 2019.
BRASIL. Emenda Constitucional Nº 95, de 15 de dezembro de 2016. Altera o Ato das Disposições Constitucionais Transitórias, para instituir o Novo Regime Fiscal, e dá outras providências. Brasília: [s.n.], 2016.
BROOKS, S. P.; ROBERTS, G. O. Convergence assessment techniques for Markov chain Monte Carlo. Statistics and Computing, Springer, v. 8, n. 4, p. 319–335, 1998.
CALVO, G. A. Staggered prices in a utility-maximizing framework. Journal of monetary Economics, Elsevier, v. 12, n. 3, p. 383–398, 1983.
CARRIÈRE-SWALLOW, Y.; CÉSPEDES, L. F. The impact of uncertainty shocks in emerging economies. Journal of International Economics, v. 90, n. 2, p. 316–325, jul. 2013. ISSN 00221996.
CASTRO, M. R. et al. SAMBA: Stochastic analytical model with a bayesian approach. Brazilian Review of Econometrics, v. 35, n. 2, p. 103–170, 2015.
CAVALCANTI, M. A. et al. The macroeconomic effects of monetary policy shocks under fiscal rules constrained by public debt sustainability. Economic Modelling, v. 71, p. 184–201, apr. 2018.
CAVALCANTI, M. A. F. H.; VEREDA, L. Fiscal Policy Multipliers in a DSGE Model for Brazil. Brazilian Review of Econometrics, v. 35, n. 2, p. 197, 2015.
CHISHOLM, E.; KOLDA, T. G. New term weighting formulas for the vector space method in information retrieval. Technical Report, [S.l.], 1999.
COSTA, C. Understanding DSGE models: Theory and Applications. Vernon Press, 2018.
DICKEY, David A.; FULLER, Wayne A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, v. 74, n. 366a, p. 427-431, 1979.
FAVERO, C.; GIAVAZZI, F. Inflation Targeting and Debt: Lessons from Brazil. Working Paper, 2004.
FLESCH, R. A new readability yardstick. Journal of Applied Psychology, v. 32, n. 3, p. 221–233, 1948.
FRASCAROLI, B. F.; NOBREGA, W. C. L. Inflation Targeting and Inflation Risk in Latin America. Emerging Markets Finance and Trade, Routledge, v. 55, n. 11, p. 2389–2408, 2019.
GALÍ, J. Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework. Princeton: Princeton University Press, 2008. 216 p.
GODEIRO, L. L.; LIMA, L. R. R. d. O. Measuring Macroeconomic Uncertainty to Brasil. Economia Aplicada, v. 21, n. 2, p. 311, 2017.
JESUS, D. P. de; BESARRIA, C. D. N.; MAIA, S. F. The macroeconomic effects of monetary policy shocks under fiscal constrained: An analysis using a DSGE model. Journal of Economic Studies, v. 47, n. 4, p. 805–825, 2020.
JURADO, K.; LUDVIGSON, S. C.; NG, S. Measuring Uncertainty. American Economic Review, v. 105, n. 3, p. 1177–1216, mar. 2015.
KRAUSE, M. U.; MOYEN, S. Public Debt and Changing Inflation Targets. American Economic Journal: Macroeconomics, v. 8, n. 4, p. 142–176, oct. 2016.
KWIATKOWSKI, D. et al. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of econometrics, Elsevier, v. 54, n. 1-3, p. 159–178, 1992.
LIM, G. C.; MCNELIS, P. D. Macroeconomics at the Zero Lower Bound: QuasiFiscal Monetary Policy vs. Quasi-Monetary Fiscal Policy. Working Paper, 2015.
LOUGHRAN, T.; MCDONALD, B. When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. The Journal of Finance, Wiley Online Library, v. 66, n. 1, p. 35–65, 2011.
MONTES, Gabriel Caldas; NICOLAY, Rodolfo Tomás da Fonseca; ACAR, Tatiana. Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil. Journal of Economics and Business, v. 103, p. 38-60, 2019.
NOBREGA, W. C. L.; MAIA, S. F.; BESARRIA, C. D. N. Interação entre as Políticas Fiscal e Monetária: uma Análise sobre o Regime de Dominância Vigente na Economia Brasileira. Análise Econômica, v. 37, n. 74, p. 7–34, 2020.
PASTORE, A.; GAZZANO, M.; PINOTTI, M. Inflação e Crises: O Papel da Moeda. 1. ed. [S.l.]: Elsevier Brasil, 2014.
PHILLIPS, P. C. B.; PERRON, P. Testing for a unit root in time series regression. Biométrika, v. 75, n. 2, p. 335–346, 1988. ISSN 00063444.
SALTON, G.; WONG, A.; YANG, C. A Vector Space Model for Automatic Indexing. Communications of the ACM, v. 18, n. 11, p. 613–620, 1975.
SARGENT, T. J.; WALLACE, N. Some Unpleasant Monetarist Arithmetic. Federal Reserve Bank of Minneapolis Quarterly Review, v. 5, n. 3, p. 1–17, 1981.
SCHMITT-GROHÉ, S.; URIBE, M. Closing small open economy models. Journal of international Economics, Elsevier, v. 61, n. 1, p. 163–185, 2003.
SILVA, M. E. A. da; BESSARIA, C. D. N. Política Monetária e Preço dos Imóveis no Brasil: Uma Análise a partir de um Modelo DSGE. Revista Brasileira de Economia, v. 72, n. 1, p. 117–143, 2018.
SILVA, P. H. N.; BESARRIA, C. D. N.; SILVA, M. D. d. O. P. da. Mensurando o sentimento de incerteza da política econômica. São Paulo: ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia, 2019.
SIMS, C. A. Macroeconomic and Reality. Econometrica, v. 48, p. 1–48, 1980.
SUH, H. Macroprudential Policy: Its Effects and Relationship to Monetary Policy. FRB of Philadelphia working paper, 2012.
TAYLOR, John B. iDiscretion versus Policy Rules in Practice, j Carnegie Rochester Conference Series on Public Policy, December, v. 39, p. 195-214, 1993.
UHLIG, H. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics, v. 52, n. 2, p. 381–419, mar. 2005.
ZIVOT, E.; ANDREWS, D. W. K. Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, v. 10, n. 3, p. 251–270, 1992. ISSN 0735-0015.
Published
13-04-2021
How to Cite
Cássio da Nóbrega Besarria, C. ., da Silva B. Aragón, E. K. ., de Oliveira Pereira da Silva, M. D. ., & Charles Lacerda Nóbrega, W. . (2021). MACROECONOMIC UNCERTAINTY AND ITS FISCAL EFFECTS: AN ANALYSIS FROM NATURAL LANGUAGE PROCESSING AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS (DSGE). CADERNOS DE FINANÇAS PÚBLICAS, 21(1). https://doi.org/10.55532/1806-8944.2021.125
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