A study on the dynamics of sustainability of Minas Gerais’ State Public Debt between 2003 and 2020: an econometric approach
DOI:
https://doi.org/10.55532/1806-8944.2022.164Keywords:
Public Debt, Cointegration, Unit Roots, Sustainability, VECMsAbstract
In the 1980s and 1990s, a specialized literature was developed in the investigation of public debt sustainability around the world. This literature was based on unit root tests, VECM modeling and public debt forecasts. These tests were intended to verify whether governments are incurring an unsustainable debt trajectory, and whether they are implementing a Ponzi scheme. The models aimed to reduce uncertainty about the Public Debt, becoming an important ally to public finance managers. This work aimed to verify evidence of the sustainability of public debt in Minas Gerais between 2003 and 2020 through the econometric approach of testing the presence of unit-roots and the cointegration between Revenues, Expenditures and other relevant variables. The conclusion was that the Public Debt of Minas Gerais shows signs of weak sustainability, lacking actions to re-establish a path of sustainability between the variables Primary Revenues and Primary Expenditures
References
Bertussi, Luís Antônio Sleimann. 2013. “Uma Revisão Da Dinâmica Macroeconômica Da Dívida
Pública e Dos Testes de Sustentabilidade Da Política Fiscal.” IPES Texto Para Discussão, 1–36. 15 jan.
2020. https://www.ucs.br/site/midia/arquivos/TD_47_FEV_2013.pdf.
Blanchard, Olivier, Jean-Claude Chouraqui, Robert P. Hagemann, e Nicola Sartor. 1990. “The Sustainability Fiscal Policy : New Answers To An Old Questions.” OECD Economic Studies. 7 mar. 2020.
https://ssrn.com/abstract=227461.
Bohn, Henning. 1991. “Budget Balance through Revenue or Spending Adjustments?: : Some Historical Evidence for the United States.” Journal of Monetary Economics 27 (3): 333–59. 24 maio 2020.
https://doi.org/10.1016/0304-3932(91)90013-e.
———. 1995. “The Sustainability of Budget Deficits in a Stochastic Economy.” Journal of Money,
Credit and Banking 27 (1): 257. 24 maio 2020 https://doi.org/10.2307/2077862.
———. 1998. “The Behavior of U. S. Public Debt and Deficits.” Quarterly Journal of Economics 113
(3): 948–63. 24 maio 2020. https://doi.org/10.1162/003355398555793.
Brasil. Banco Central. SGS - Sistema Gerenciador de Séries Temporais - v2.1. Informações Econômico-Financeiras, Séries Temporais – Metadados, 4390 - Taxa de juros - Selic acumulada no mês. 2 abr.
2021a. https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.do?method=prepararTelaLocalizarSerie.
______. Banco Central. SGS – Sistema de Gerenciador de Séries Temporais - v2.1. Informações
Econômico-Financeiras, Séries Temporais - Metadados, 21936 - Produção Industrial (2012=100) -
Geral - Minas Gerais. 2 abr. 2021b. https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.
do?method=prepararTelaLocalizarSeries
______. Banco Central. SGS – Sistema de Gerenciador de Séries Temporais - v2.1. Informações
Econômico-Financeiras, Séries Temporais - Metadados, 25379 - Índice de Atividade Econômica Regional - Minas Gerais. 12 abr. 2021c. https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.
do?method=prepararTelaLocalizarSeries.
______. Ministério da Indústria, Comércio Exterior e Serviços. Exportações FOB - Minas Gerais
para China de 2003 a 2020. COMEX - Stat. 3 abr. 2021d. http://comexstat.mdic.gov.br/pt/home.
44
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-82, 2022
Bueno, Rodrigo de Losso da Silveira. 2015. Econometria de Séries Temporais. Cengage Learning. 2a.
São Paulo: Cengage Learning.
Costa, Carlos Eugênio Ellery Lustosa da. 2009. “Sustentabilidade Da Dívida Pública.” Dívida Pública: A Experiência Brasileira, 81–99. 24 maio 2020. https://sisweb.tesouro.gov.br/apex/
f?p=2501:9::::9:P9_ID_PUBLICACAO_ANEXO:4718.
Domar, Evsey D. 1944. “The ‘Burden of the Debt’ and the National Income.” The New Palgrave Dictionary of Economics 34 (4): 142–49. 25 maio 2021. https://doi.org/10.1057/9780230226203.0037.
Enders, Walter. 2014. Applied Econometrics Series. Applied Time Series Econometrics. 4a Edition.
Alabama: Wiley.
Engle, Robert F., Clive W.J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55 (2): 251–76. 26 mar. 2020. https://doi.
org/10.2307/1913236.
Engle, Robert F., David F. Hendry, e Jean-François Richard. 1983. “Exogeneity.” Econometrica 51 (2):
1–31.
Ericsson, Neil R. 1992. “Cointegration, Exogeneity, and Policy Analysis: An Overview.” Journal of
Policy Modeling. 25 jun 2021. https://doi.org/10.1016/0161-8938(92)90001-S.
Fontenele, Ana, Francisco Tabosa, José Júnior, e Daniel Guimarães. 2015. “Sustentabilidade Da Dívida Pública Dos Estados Brasileiros.” Revista Ciências Administrativas 21 (2): 621–38. 23 abr. 2020.
https://doi.org/10.5020/2318-0722.2015.v21n2p621.
Giambiagi, Fabio, Ana Cláudia Duarte de Além. 2011. Finanças Públicas: Teoria e Prática No Brasil.
4a ed. Rio de Janeiro: Elsevier.
Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral
Methods.” Econometrica 37 (3): 424–38. 25 maio 2021. https://doi.org/10.1017/ccol052179207x.002.
Hakkio, CRAIG S., e MARK Rush. 1991. “Is the Budget Deficit ‘Too Large?’” Economic Inquiry 29
(3): 429–45. 25 abr 2021. https://doi.org/10.1111/j.1465-7295.1991.tb00837.x.
45
Hamilton, James D, e Marjorie A Flavin. 1985. “On the Limitations of Government Borrowing: A
Framework for Empirical Testing.” NBER Working Paper.
Harrod, Roy. 1949. Towards a Dynamic Economics: Some Recent Developments of Economic
Theory and Their Application to Policy. International Affairs. Vol. 25. 20 maio 2021.https://doi.
org/10.2307/3019077.
Issler, João Victor, e Luiz Renato Lima. 1997. “Public Debt Sustainability and Endogenous Seignorage in Brazil: Time-Series Evidence from 1947-92.” Pesquisa e Planejamento Econômico. 20 maio
2020. http://hdl.handle.net/10438/634
Johansen, Søren. 1992. “Testing Weak Exogeneity and the Order of Cointegration in UK Money
Demand Data.” Journal of Policy Modeling 14 (3): 313–34. 20 jun. 2021. https://doi.org/10.1016/
0161-8938(92)90003-U.
Kremers, Jeroen J.M. 1989. “U.S. Federal Indebtedness and the Conduct of Fiscal Policy.” Journal of
Monetary Economics 23 (2): 219–38. 25 maio 2021. https://doi.org/10.1016/0304-3932(89)90049-4.
Luporini, Viviane. 2006. “TEXTOS PARA DISCUSSÃO UFF / ECONOMIA. Conceitos de Sustentabilidade Fiscal.” Economia.
Lütkepohl, Helmut. 2005. New Introduction to Multiple Time Series Analysis. New Introduction to
Multiple Time Series Analysis. Berlin.
Minas Gerais. Secretaria de Estado de Fazenda. Dados cedidos para esta pesquisa - Dívida Pública
Interna. 2020a.
______. Secretaria de Estado de Fazenda. Portal da Dívida Pública Estadual. Dívida Pública Fundada Estadual. 2020b. http://www.fazenda.mg.gov.br/tesouro-estadual/divida-publica/portal-da-divida-publica-estadual/.
______. Secretaria do Planejamento e Gestão. Dados cedidos para esta pesquisa. Dados no e-mail
pessoal. 2020c.
Moura, Darlan. 2017. “Sustentabilidade Fiscal Dos Estados Brasileiros (1995-2012).” Universidade
Federal do Ceará. 20 maio 2020. http://www.repositorio.ufc.br/handle/riufc/29044.
46
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-82, 2022
Organization for Economic Co-operation and Development. Immediate Rates: Less than 24 Hours: Prime Rates for the United States [IRSTPI01USM156N], retrieved from FRED. Federal Reserve
Bank of St. Louis. 15 jun. 2020. https://fred.stlouisfed.org/series/IRSTPI01USM156N.
Pastore, Affonso Celso. 1994. “Déficit Público, a Sustentabilidade Do Crescimento Das Dívidas
Interna e Externa, Senhoriagem e Inflação: Uma Análise Do Regime Monetário Brasileiro.” Brazilian
Review of Econometrics 14 (2): 177. https://doi.org/10.12660/bre.v14n21994.2972.
Quintos, Carmela E. 1995. “Sustainability of the Deficit Process with Structural Shifts.” Journal of
Business and Economic Statistics 13 (4): 409–17. https://doi.org/10.1080/07350015.1995.10524615.
Rocha, Fabiana. 1997. “Long-Run Limits on the Brazilian Government Debt.” Revista Brasileira de
Economia 51 (4): 447–70. 20 maio 2021. http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/
view/703.
Sarvi, Tuukka. 2011. “Some Approaches for Assessing the Sustainability of Public Finances.”
Trehan, Bharat, e Carl E. Walsh. 1988. “Common Trends, the Government’s Budget Constraint, and
Revenue Smoothing.” Journal of Economic Dynamics and Control 12 (2–3): 425–44. 20 maio 2020.
https://doi.org/10.1016/0165-1889(88)90048-6.
Wilcox, David W. 1989. “The Sustainability of Government Deficits: Implications of the Present-Value Borrowing Constraint.” Journal of Money, Credit and Banking 21 (3): 291. 19 abr. 2021
https://doi.org/10.2307/1992415.
Willmott, Cort J., e Kenji Matsuura. 2005. “Advantages of the Mean Absolute Error (MAE) over the
Root Mean Square Error (RMSE) in Assessing Average Model Performance.” Climate Research 30
(1): 79–82. 19 ago. 2021. https://doi.org/10.3354/cr030079
Pública e Dos Testes de Sustentabilidade Da Política Fiscal.” IPES Texto Para Discussão, 1–36. 15 jan.
2020. https://www.ucs.br/site/midia/arquivos/TD_47_FEV_2013.pdf.
Blanchard, Olivier, Jean-Claude Chouraqui, Robert P. Hagemann, e Nicola Sartor. 1990. “The Sustainability Fiscal Policy : New Answers To An Old Questions.” OECD Economic Studies. 7 mar. 2020.
https://ssrn.com/abstract=227461.
Bohn, Henning. 1991. “Budget Balance through Revenue or Spending Adjustments?: : Some Historical Evidence for the United States.” Journal of Monetary Economics 27 (3): 333–59. 24 maio 2020.
https://doi.org/10.1016/0304-3932(91)90013-e.
———. 1995. “The Sustainability of Budget Deficits in a Stochastic Economy.” Journal of Money,
Credit and Banking 27 (1): 257. 24 maio 2020 https://doi.org/10.2307/2077862.
———. 1998. “The Behavior of U. S. Public Debt and Deficits.” Quarterly Journal of Economics 113
(3): 948–63. 24 maio 2020. https://doi.org/10.1162/003355398555793.
Brasil. Banco Central. SGS - Sistema Gerenciador de Séries Temporais - v2.1. Informações Econômico-Financeiras, Séries Temporais – Metadados, 4390 - Taxa de juros - Selic acumulada no mês. 2 abr.
2021a. https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.do?method=prepararTelaLocalizarSerie.
______. Banco Central. SGS – Sistema de Gerenciador de Séries Temporais - v2.1. Informações
Econômico-Financeiras, Séries Temporais - Metadados, 21936 - Produção Industrial (2012=100) -
Geral - Minas Gerais. 2 abr. 2021b. https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.
do?method=prepararTelaLocalizarSeries
______. Banco Central. SGS – Sistema de Gerenciador de Séries Temporais - v2.1. Informações
Econômico-Financeiras, Séries Temporais - Metadados, 25379 - Índice de Atividade Econômica Regional - Minas Gerais. 12 abr. 2021c. https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.
do?method=prepararTelaLocalizarSeries.
______. Ministério da Indústria, Comércio Exterior e Serviços. Exportações FOB - Minas Gerais
para China de 2003 a 2020. COMEX - Stat. 3 abr. 2021d. http://comexstat.mdic.gov.br/pt/home.
44
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-82, 2022
Bueno, Rodrigo de Losso da Silveira. 2015. Econometria de Séries Temporais. Cengage Learning. 2a.
São Paulo: Cengage Learning.
Costa, Carlos Eugênio Ellery Lustosa da. 2009. “Sustentabilidade Da Dívida Pública.” Dívida Pública: A Experiência Brasileira, 81–99. 24 maio 2020. https://sisweb.tesouro.gov.br/apex/
f?p=2501:9::::9:P9_ID_PUBLICACAO_ANEXO:4718.
Domar, Evsey D. 1944. “The ‘Burden of the Debt’ and the National Income.” The New Palgrave Dictionary of Economics 34 (4): 142–49. 25 maio 2021. https://doi.org/10.1057/9780230226203.0037.
Enders, Walter. 2014. Applied Econometrics Series. Applied Time Series Econometrics. 4a Edition.
Alabama: Wiley.
Engle, Robert F., Clive W.J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55 (2): 251–76. 26 mar. 2020. https://doi.
org/10.2307/1913236.
Engle, Robert F., David F. Hendry, e Jean-François Richard. 1983. “Exogeneity.” Econometrica 51 (2):
1–31.
Ericsson, Neil R. 1992. “Cointegration, Exogeneity, and Policy Analysis: An Overview.” Journal of
Policy Modeling. 25 jun 2021. https://doi.org/10.1016/0161-8938(92)90001-S.
Fontenele, Ana, Francisco Tabosa, José Júnior, e Daniel Guimarães. 2015. “Sustentabilidade Da Dívida Pública Dos Estados Brasileiros.” Revista Ciências Administrativas 21 (2): 621–38. 23 abr. 2020.
https://doi.org/10.5020/2318-0722.2015.v21n2p621.
Giambiagi, Fabio, Ana Cláudia Duarte de Além. 2011. Finanças Públicas: Teoria e Prática No Brasil.
4a ed. Rio de Janeiro: Elsevier.
Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral
Methods.” Econometrica 37 (3): 424–38. 25 maio 2021. https://doi.org/10.1017/ccol052179207x.002.
Hakkio, CRAIG S., e MARK Rush. 1991. “Is the Budget Deficit ‘Too Large?’” Economic Inquiry 29
(3): 429–45. 25 abr 2021. https://doi.org/10.1111/j.1465-7295.1991.tb00837.x.
45
Hamilton, James D, e Marjorie A Flavin. 1985. “On the Limitations of Government Borrowing: A
Framework for Empirical Testing.” NBER Working Paper.
Harrod, Roy. 1949. Towards a Dynamic Economics: Some Recent Developments of Economic
Theory and Their Application to Policy. International Affairs. Vol. 25. 20 maio 2021.https://doi.
org/10.2307/3019077.
Issler, João Victor, e Luiz Renato Lima. 1997. “Public Debt Sustainability and Endogenous Seignorage in Brazil: Time-Series Evidence from 1947-92.” Pesquisa e Planejamento Econômico. 20 maio
2020. http://hdl.handle.net/10438/634
Johansen, Søren. 1992. “Testing Weak Exogeneity and the Order of Cointegration in UK Money
Demand Data.” Journal of Policy Modeling 14 (3): 313–34. 20 jun. 2021. https://doi.org/10.1016/
0161-8938(92)90003-U.
Kremers, Jeroen J.M. 1989. “U.S. Federal Indebtedness and the Conduct of Fiscal Policy.” Journal of
Monetary Economics 23 (2): 219–38. 25 maio 2021. https://doi.org/10.1016/0304-3932(89)90049-4.
Luporini, Viviane. 2006. “TEXTOS PARA DISCUSSÃO UFF / ECONOMIA. Conceitos de Sustentabilidade Fiscal.” Economia.
Lütkepohl, Helmut. 2005. New Introduction to Multiple Time Series Analysis. New Introduction to
Multiple Time Series Analysis. Berlin.
Minas Gerais. Secretaria de Estado de Fazenda. Dados cedidos para esta pesquisa - Dívida Pública
Interna. 2020a.
______. Secretaria de Estado de Fazenda. Portal da Dívida Pública Estadual. Dívida Pública Fundada Estadual. 2020b. http://www.fazenda.mg.gov.br/tesouro-estadual/divida-publica/portal-da-divida-publica-estadual/.
______. Secretaria do Planejamento e Gestão. Dados cedidos para esta pesquisa. Dados no e-mail
pessoal. 2020c.
Moura, Darlan. 2017. “Sustentabilidade Fiscal Dos Estados Brasileiros (1995-2012).” Universidade
Federal do Ceará. 20 maio 2020. http://www.repositorio.ufc.br/handle/riufc/29044.
46
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-82, 2022
Organization for Economic Co-operation and Development. Immediate Rates: Less than 24 Hours: Prime Rates for the United States [IRSTPI01USM156N], retrieved from FRED. Federal Reserve
Bank of St. Louis. 15 jun. 2020. https://fred.stlouisfed.org/series/IRSTPI01USM156N.
Pastore, Affonso Celso. 1994. “Déficit Público, a Sustentabilidade Do Crescimento Das Dívidas
Interna e Externa, Senhoriagem e Inflação: Uma Análise Do Regime Monetário Brasileiro.” Brazilian
Review of Econometrics 14 (2): 177. https://doi.org/10.12660/bre.v14n21994.2972.
Quintos, Carmela E. 1995. “Sustainability of the Deficit Process with Structural Shifts.” Journal of
Business and Economic Statistics 13 (4): 409–17. https://doi.org/10.1080/07350015.1995.10524615.
Rocha, Fabiana. 1997. “Long-Run Limits on the Brazilian Government Debt.” Revista Brasileira de
Economia 51 (4): 447–70. 20 maio 2021. http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/
view/703.
Sarvi, Tuukka. 2011. “Some Approaches for Assessing the Sustainability of Public Finances.”
Trehan, Bharat, e Carl E. Walsh. 1988. “Common Trends, the Government’s Budget Constraint, and
Revenue Smoothing.” Journal of Economic Dynamics and Control 12 (2–3): 425–44. 20 maio 2020.
https://doi.org/10.1016/0165-1889(88)90048-6.
Wilcox, David W. 1989. “The Sustainability of Government Deficits: Implications of the Present-Value Borrowing Constraint.” Journal of Money, Credit and Banking 21 (3): 291. 19 abr. 2021
https://doi.org/10.2307/1992415.
Willmott, Cort J., e Kenji Matsuura. 2005. “Advantages of the Mean Absolute Error (MAE) over the
Root Mean Square Error (RMSE) in Assessing Average Model Performance.” Climate Research 30
(1): 79–82. 19 ago. 2021. https://doi.org/10.3354/cr030079
Published
24-05-2022
How to Cite
Bragança dos Santos, P. H., & Soares Diniz, F. (2022). A study on the dynamics of sustainability of Minas Gerais’ State Public Debt between 2003 and 2020: an econometric approach. CADERNOS DE FINANÇAS PÚBLICAS, 22(01). https://doi.org/10.55532/1806-8944.2022.164
Issue
Section
Artigos
License
The articles can be copied, since quoted the source.
