Fiscal rule and monetary policy effectiveness: estimates for the brazilian case
DOI:
https://doi.org/10.55532/1806-8944.2022.165Keywords:
Monetary Policy, Fiscal Policy, Fiscal RulesAbstract
A central bank needs to assess the effects of fiscal policy on the economy if it wants to be more precise on the impact of its decisions on the output growth and on the price level: inconsistent fiscal policy can render monetary policy ineffective. This paper tried to understand the effects of fiscal policy on the Brazilian monetary policy conduction. To do so, using monthly data between Jan/2003 and Jan/2020, a fiscal rule was estimated; from this fiscal rule, using the Kalman filter, a time series was extracted, containing the response of the primary surplus-to-GDP ratio to fluctuations in public debt-to-GDP ratio. Thus, a fiscal reaction index was tested on a monetary policy rule; the results pointed out that a greater fiscal response to changes in debt results in less real interest rate variability. The result can be interpreted as a greater monetary policy effectiveness induced by greater responsiveness to indebtedness.
References
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Political Economy 91, no. 41 (1983a): 589-610.
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49
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Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-59, 2022
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inflação: evidências para o caso brasileiro.” Economia Aplicada 12, no. 4 (2008): 635-657.
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consequences for the interest rate.” Economic Modelling 26, no. 6 (2009): 1228-1238.
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Engle, R. F., Granger, C. W. J. “Co-Integration and Error Correction: Representation, Estimation, and
Testing.” Econometrica 55, no. 2 (1987): 251-276.
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Press, 1990.
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51
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no. 9 (2000).
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br/.
Instituto de Pesquisa Econômica Aplicada. “IPEADATA”. Acessado em 7 Fev., 2021 https://www.ipea.
gov.br.
Johansen, S. “Statistical analysis of cointegration vectors.” Journal of Economic Dynamics and Control
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Johansen, S. “Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models.” Econometrica 59, no. 6 (1991): 1551-1580.
Johansen, S.; Juselius, K. “Maximum likelihood estimation and inference on cointegration: with applications to the demand for money.” Oxford Bulletin of Economics and Statistics 52, no. 2 (1990): 169-
210.
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Kalman, R. E. “A New Approach to Linear Filtering and Prediction Problems.” Journal of Basic Engineering 82, no. 1 (1960): 35-45.
52
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-59, 2022
Kalman, R. E., Bucy R. S. “New Results in Linear Filtering and Prediction Theory.” Journal of Basic
Enginnering 83, no. 1 (1961): 85-108.
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Journal of Political Economic 85, no. 3 (1977): 473-492.
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(1982): 345-370.
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Economics 27, no. 1 (1991): 129-147.
Leeper, E. M. “Why Central Banks Should Care About Fiscal Rules.” Sveriges Riksbank Economic
Review 3, (2016): 109-125.
Leeper, E. M., Leith, C. “Understanding Inflation as a Joint Monetary–Fiscal Phenomenon.” In Handbook of Macroeconomics 2, ed. Taylor, J. B., Uhlig H. Amsterdam; New York: North-Holland, 2016.
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Review 107, no. 8 (2017): 2409-2454.
Loyo, E. “Tight Money Paradox on the Loose: A Fiscalist Hyperinflation.” Manuscript, Harvard University. 1999.
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Mello, L. “Estimating a fiscal reaction function: the case of debt sustainability in Brazil.” Applied Economics 40, no. 3 (2008): 271-284.
Mendoza, E., Ostry, J. “International evidence on fiscal solvency.” Journal of Monetary Economics 55,
no. 6 (2008): 1081-1093.
53
Mendoza, E., Oviedo, M. “Public Debt, Fiscal Solvency and Macroeconomic Uncertainty in Latin
America.” Economía Mexicana 18, no. 2 (2008): 133-173.
Mishkin, F. S. Monetary Policy Strategy. Cambridge: The MIT Press, 2007.
Missale, A., Giavazzi F., Benigno P. “How is debt managed? Learning from fiscal stabilization.” Scandinavian Journal of Economics 104, no. 3 (2002): 443-469.
Montes, G. C., Assumpção, A. C. de J. “Uma Nota Sobre o Papel da Credibilidade da Política Monetária e Fiscal: Evidências para o Brasil.” Revista Brasileira de Economia 68, no. 4 (2014): 497-515.
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Economia Aplicada 15, no. 3 (2011) 391-415.
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expectations: Evidence from Brazil.” Journal of Economic Studies 40, no. 3 (2013): 334-354.
Montes, G. C., Tiberto, B. P. “Gestão da dívida pública, reputação fiscal e risco-país: Evidências empíricas para o Brasil.” Planejamento e Políticas Públicas, no. 44 (2015): 343-374.
Moreira, A., Rocha, K. “A política fiscal e as taxas de juros nos países emergentes.” Economia Aplicada
15, no. 3 (2011): 485-496.
Moreira, R. R. “Pro-cyclical fiscal policy in Brazil: long- and short-term relationships using cointegration and error correction model (2005-2015).” International Journal of Economic Policy in Emerging
Economies 10, no. 2 (2017): 171-184.
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Brasil: um enfoque sobre a consistência das políticas.” Revista Economia e Desenvolvimento 12, no. 1
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54
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-59, 2022
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Banco Central do Brasil. Acessado em 5 Fev., 2021. https://www.bcb.gov.br/.
Banco Central do Brasil. “SGS - Sistema Gerador de Séries Temporais.” https://www3.bcb.gov.br/sgspub/.
Barbosa, F. H., Camêlo, F. D., João, I. C. “A taxa de juros natural e a regra de Taylor no Brasil: 2003/2015.”
Revista Brasileira de Economia 70, no. 4 (2016): 399-417.
Barro, R. J., Gordon, D. B. “A Positive Theory of Monetary Policy in a Natural Rate Model.” Journal of
Political Economy 91, no. 41 (1983a): 589-610.
Barro, R. J., Gordon, D. B. “Rules, Discretion and Reputation in a Model of Monetary Policy.” Journal
of Monetary Economics 12, no. 1 (1983b): 101-121.
Bhattarai, S., Lee, J., Park, W. “Monetary-Fiscal Policy Interactions and Indeterminacy in Postwar US
Data.” American Economic Review 102, no. 3 (2012): 173-178.
Blanchard, O., Cottarelli, C. “Ten Commandments for Fiscal Adjustment in Advanced Economies.”
IMFBlog (2010). Acessado em 15 Mar., 2021 https://blogs.imf.org/2010/06/24/ten-commandments-
-for-fiscal-adjustment-in-advanced-economies/.
Blanchard, O. “Fiscal Dominance and Inflation Targeting: Lessons from Brazil.” In Inflation Targeting,
Debt, and the Brazilian Experience, 1999 to 2003, eds. Giavazzi, F., Goldfajn, I., Herrera, S., 49-80.
Cambridge: MIT Press, 2005.
Bergin, P. R. “Fiscal solvency and price level determination in a monetary union.” Journal of Monetary
Economics 1, no. 45 (2000): 37-53.
49
Bohn, H. “The Behavior of US Public Debt and Deficits.” Quarterly Journal of Economics 113, no. 3
(1998): 949-963.
Bohn, H. “The Sustainability of Fiscal Policy in the United States.” CESifo Working Paper Series, no.
1446 (2005).
Calvo, G., Guidotti, P. “Indexation and maturity of government bonds: an exploratory model.” In
Public Debt Management: Theory and History, comp. Dornbusch, R. E Draghi, M. Cambridge: Cambridge University Press, 1990.
Campos E. L., Cysne R. P. “A Time-Varying Fiscal Reaction Function for Brazil.” Estudos Econômicos
49, no. 1 (2019): 5-38.
Campbell, J.; Perron, P. “Pitfalls and Opportunities: What Macroeconomists Should Know About Unit
Roots.” In Macroeconomics Annual 1991, eds. Blanchard, O., E Fischer, S., 141-220. Cambridge: MIT
Press, 1991.
Canzonery, M., Cumby, R., Diba, B. “Is the price level determined by the needs of fiscal solvency?”
American Economic Review 91, no. 5 (2015): 1221-1238.
Chen X., Leeper E., Leith C. “US Monetary and Fiscal Policies - Conflict or Cooperation?” SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), no. 2015-77 (2015).
Clarida, R., Gali, J., Gertler, M. “The Science of Monetary Policy: A New Keynesian Perspective.” Journal of Economic Literature 37, no. 2 (1999): 1661-1707.
Clarida R., Galí J., Gertler M. “Monetary Policy Rules and Macroeconomic Stability: Evidence and
Some Theory.” The Quarterly Journal of Economics 115, no. 1 (2000): 147-180.
Cragg, J. “More efficient estimation in the presence of heteroskedasticity of unknown form.” Econometrica 51, no. 3 (1983): 751-763.
Cochrane, J. H. “A Frictionless View of U.S. Inflation.” In NBER Macroeconomics Annual 1998, eds.
Bernanke, B. S., E Rotemberg, J. J., 323-384. Cambridge: MIT Press, 1999.
Cochrane, J. H. “Long-term debt and optimal policy in the fiscal theory of the price level.” Econometrica 69, no. 1 (2001): 69-116.
50
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-59, 2022
Cochrane, J. H. “Determinacy and Identification with Taylor Rules.” Journal of Political Economy 119,
no. 3 (2011): 565-615.
Davig, T., Leeper, E. M. “Monetary-fiscal policy interactions and fiscal stimulus.” European Economic
Review 55, no. 2 (2011): 211-227.
Davig, T., Leeper, E. M. “Fluctuating Macro Policies and the Fiscal Theory.” NBER Macroeconomics
Annual 2006 21, (2006).
De Mello, L. “Estimating a fiscal reaction function: the case of debt sustainability in Brazil.” Applied
Economics 40, no. 3 (2008): 271-284.
De Mendonça, H. F. “Dívida pública e estabilidade de preços no período pós-real: explorando relações
empíricas.” Estudos Econômicos 34, no. 2 (2004): 345-368.
De Mendonça, H. F., Da Silva, R. T. “Administração da dívida pública sob um regime de metas para
inflação: evidências para o caso brasileiro.” Economia Aplicada 12, no. 4 (2008): 635-657.
De Mendonça, H. F., De Guimarães e Souza, G. “Inflation targeting credibility and reputation: The
consequences for the interest rate.” Economic Modelling 26, no. 6 (2009): 1228-1238.
Eubank, R. L. A Kalman Filter Primer. New York: Chapman and Hall/CRC, 2006.
Engle, R. F., Granger, C. W. J. “Co-Integration and Error Correction: Representation, Estimation, and
Testing.” Econometrica 55, no. 2 (1987): 251-276.
Ghosh A. R., Kim J. I., Mendoza E. G., Ostry J. D., Qureshi M. S. “Fiscal Fatigue, Fiscal Space and Debt
Sustainability in Advanced Economies.” The Economic Journal 123, no. 566 (2013) F4-F30.
Giavazzi, F., Pagano, M. “Confidence Crises and Public Debt Management.” In Public Debt Management: Theory and History, comps. Dornbusch, R., Draghi, M. Cambridge, Cambridge University
Press, 1990.
Grewal, M. S., Andrews A. P. Kalman Filtering: Theory and Practice Using Matlab. Hoboken: Wiley,
2008.
51
Hall, A. R. “Generalized Method of Moments.” In: A Companion to Theoretical Econometrics, ed.
Baltagi, B. R. Cambridge: Blackwell Publishing, 2003.
Hansen, L. P. “Large sample properties of generalized method of moments estimators.” Econometrica
50, no. 4 (1982): 1029-1054.
Harvey, A. C. Forecasting, structural time series models and the Kalman filter. Cambridge: Cambridge
University Press, 2003.
Hodrick, R.; Prescott, E. C. “Postwar U.S. business cycles: an empirical investigation.” Journal of Money, Credit, and Banking 29, no. 1 (1997): 1-16.
Instituição Fiscal Independente. “Considerações sobre o teto de gastos da União.” Comentários da IFI,
no. 9 (2000).
Instituto Brasileiro de Geografia e Estatística - IBGE. Acessado em 7 Fev., 2021 https://www.ibge.gov.
br/.
Instituto de Pesquisa Econômica Aplicada. “IPEADATA”. Acessado em 7 Fev., 2021 https://www.ipea.
gov.br.
Johansen, S. “Statistical analysis of cointegration vectors.” Journal of Economic Dynamics and Control
12, no. 2-3 (1988) 231-254.
Johansen, S. “Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models.” Econometrica 59, no. 6 (1991): 1551-1580.
Johansen, S.; Juselius, K. “Maximum likelihood estimation and inference on cointegration: with applications to the demand for money.” Oxford Bulletin of Economics and Statistics 52, no. 2 (1990): 169-
210.
Johnston, J. Econometric Methods. New York: McGraw-Hill, 1984.
Kalman, R. E. “A New Approach to Linear Filtering and Prediction Problems.” Journal of Basic Engineering 82, no. 1 (1960): 35-45.
52
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-59, 2022
Kalman, R. E., Bucy R. S. “New Results in Linear Filtering and Prediction Theory.” Journal of Basic
Enginnering 83, no. 1 (1961): 85-108.
Kydland, F. E., Prescott, E. C. “Rules Rather than Discretion: The Inconsistency of Optimal Plans.”
Journal of Political Economic 85, no. 3 (1977): 473-492.
Kydland, F. E., Prescott, E. C. “Time to build and aggregate fluctuations.” Econometrica 50, no. 6
(1982): 345-370.
Leeper, E. M. “Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies.” Journal of Monetary
Economics 27, no. 1 (1991): 129-147.
Leeper, E. M. “Why Central Banks Should Care About Fiscal Rules.” Sveriges Riksbank Economic
Review 3, (2016): 109-125.
Leeper, E. M., Leith, C. “Understanding Inflation as a Joint Monetary–Fiscal Phenomenon.” In Handbook of Macroeconomics 2, ed. Taylor, J. B., Uhlig H. Amsterdam; New York: North-Holland, 2016.
Leeper, E. M., Traum, N.; Walker, T. “Clearing Up the Fiscal Multiplier Morass.” American Economic
Review 107, no. 8 (2017): 2409-2454.
Loyo, E. “Tight Money Paradox on the Loose: A Fiscalist Hyperinflation.” Manuscript, Harvard University. 1999.
Luporini, V. “Sustainability of Brazilian fiscal policy, once again: corrective policy response over time.”
Estudos Econômicos 45, no. 2 (2015): 437-458.
Maybeck, P. S. Stochastic Models, Estimation, and Control. New York: Academic Press, Inc, 1979.
Marques Junior, K. “Há dominância fiscal na economia brasileira? Uma análise empírica para o período do Governo Lula.” Indicadores Econômicos FEE 38, no. 1 (2010): 63-80.
Mello, L. “Estimating a fiscal reaction function: the case of debt sustainability in Brazil.” Applied Economics 40, no. 3 (2008): 271-284.
Mendoza, E., Ostry, J. “International evidence on fiscal solvency.” Journal of Monetary Economics 55,
no. 6 (2008): 1081-1093.
53
Mendoza, E., Oviedo, M. “Public Debt, Fiscal Solvency and Macroeconomic Uncertainty in Latin
America.” Economía Mexicana 18, no. 2 (2008): 133-173.
Mishkin, F. S. Monetary Policy Strategy. Cambridge: The MIT Press, 2007.
Missale, A., Giavazzi F., Benigno P. “How is debt managed? Learning from fiscal stabilization.” Scandinavian Journal of Economics 104, no. 3 (2002): 443-469.
Montes, G. C., Assumpção, A. C. de J. “Uma Nota Sobre o Papel da Credibilidade da Política Monetária e Fiscal: Evidências para o Brasil.” Revista Brasileira de Economia 68, no. 4 (2014): 497-515.
Montes, G. C., Bastos, J. C. A. “Metas de Inflação e Estrutura a Termo das Taxas de Juros no Brasil.”
Economia Aplicada 15, no. 3 (2011) 391-415.
Montes, G. C., Bastos, J. C. A. “Economic policies, macroeconomic environment and entrepreneurs’
expectations: Evidence from Brazil.” Journal of Economic Studies 40, no. 3 (2013): 334-354.
Montes, G. C., Tiberto, B. P. “Gestão da dívida pública, reputação fiscal e risco-país: Evidências empíricas para o Brasil.” Planejamento e Políticas Públicas, no. 44 (2015): 343-374.
Moreira, A., Rocha, K. “A política fiscal e as taxas de juros nos países emergentes.” Economia Aplicada
15, no. 3 (2011): 485-496.
Moreira, R. R. “Pro-cyclical fiscal policy in Brazil: long- and short-term relationships using cointegration and error correction model (2005-2015).” International Journal of Economic Policy in Emerging
Economies 10, no. 2 (2017): 171-184.
Moreira, T. B. S., Carvalho Junior, A. C. C. “Interação entre políticas monetária, fiscal e cambial no
Brasil: um enfoque sobre a consistência das políticas.” Revista Economia e Desenvolvimento 12, no. 1
(2013): 71-102.
Observatório de Política Fiscal. Acessado em 10 Mai., 2021. https://observatorio-politica-fiscal.ibre.
fgv.br/.
Pires, M. C. C. “Credibilidade na política fiscal: uma análise preliminar para o Brasil.” Economia Aplicada 10, no. 3 (2006): 367-375.
54
Revista Cadernos de Finanças Públicas, Brasília, Volume 01, p. 1-59, 2022
Prescott, E. C. “Theory ahead of business cycle measurement.” Federal Reserve Bank of Minneapolis
Quarterly Review 10, no. 4 (1986): 9-22.
Sargent, T., Wallace, N. “Some unpleasant monetarist arithmetic.” Quarterly Review 5, no. 3 (1981):
1-19.
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167
Published
24-05-2022
How to Cite
Pereira dos Anjos, D., & Ramalhete Moreira, R. (2022). Fiscal rule and monetary policy effectiveness: estimates for the brazilian case. CADERNOS DE FINANÇAS PÚBLICAS, 22(01), 55. https://doi.org/10.55532/1806-8944.2022.165
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