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Sustainability of the Brazilian public debt: An analysis using multicointegration

According to Bohn (1995), conventional econometric analysis of sustainability, based on unit root tests on the government debt-to-GDP series or cointegration analysis between revenues and expenses, are inconclusive to verify the sustainability of the fiscal policy. This paper uses the multicointegra...

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Autores Principales: Campos, Eduardo Lima, Cysne, Rubens Penha
Formato: Online
Idioma:eng
Publicado: EdiUNS 2020
Acceso en línea:https://revistas.uns.edu.ar/ee/article/view/1944
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spelling oai:oai.revistas.uns.edu.ar:article-19442022-06-05T19:25:29Z Sustainability of the Brazilian public debt: An analysis using multicointegration Sostenibilidad de la deuda pública brasileña: un análisis usando multicointegración Campos, Eduardo Lima Cysne, Rubens Penha public debt debt sustainability multicointegration deuda pública sostenibilidad de la deuda multicointegración According to Bohn (1995), conventional econometric analysis of sustainability, based on unit root tests on the government debt-to-GDP series or cointegration analysis between revenues and expenses, are inconclusive to verify the sustainability of the fiscal policy. This paper uses the multicointegration method to investigatethe validity of a long-term relationship between the Brazilian government`s accumulated revenues and expenses and its debt, all expressed as a proportion of GDP. Leachman et al. (2005) argue that this technique allows concluding about the sustainability or not of fi scal policy. The present work considers specificationsthat allow evaluating the reaction of both accumulated revenues and expenses to changes in the debt-to-GDP, using monthly data from December 1997 to June 2018. We conclude that the Brazilian fiscal policy was unsustainable over the study period, due to the excessive government spending and its growing trajectory, mainly at the end of the sample. Según Bohn (1995), el análisis econométrico convencional de la sostenibilidad, basado en pruebas de raíz unitaria en la serie de deuda del gobierno al PIB o análisis de cointegración entre ingresos y gastos, no es concluyente para verificar la sostenibilidad de la política fiscal. Este documento utiliza el método de multicointegración para investigar la validez de una relación a largo plazo entre los ingresos y gastosacumulados del gobierno brasileño y su deuda, todo expresado como una proporción del PIB. Leachman et al. (2005) sostienen que esta técnica permite concluir sobre la sostenibilidad o no de la política fiscal. El presente trabajo considera especificaciones que permiten evaluar la reacción de los ingresos y gastos acumulados a los cambios en la deuda con respecto al PIB, utilizando datos mensuales desde diciembre de 1997 hasta junio de 2018. Concluimos que la política fiscal brasileña fue insostenible durante el período de estudio, debido al gasto público excesivo y su trayectoria creciente, principalmente al fi nal de la muestra. EdiUNS 2020-08-24 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article text Artículo evaluado por pares texto application/pdf application/epub+zip https://revistas.uns.edu.ar/ee/article/view/1944 10.52292/j.estudecon.2020.1944 Estudios económicos; Vol. 37 No. 75 (2020); 5-25 Estudios económicos; Vol. 37 Núm. 75 (2020); 5-25 Estudios económicos; v. 37 n. 75 (2020); 5-25 2525-1295 0425-368X eng https://revistas.uns.edu.ar/ee/article/view/1944/1160 https://revistas.uns.edu.ar/ee/article/view/1944/1161 Brazil, 1997-2018 Brasil, 1997-2018 Derechos de autor 2020 Atribución-No Comercial 4.0 Unported (CC BY-NC 4.0) de Creative Commons.
institution UNS
collection Biblioteca Digital Académica
building Biblioteca Central
Biblioteca de Economía
bda_str Estudios Económicos
hierarchy_parent_id bda_ee
hierarchy_parent_title Estudios Económicos
hierarchy_top_id bda_str
hierarchy_top_title Biblioteca Digital Académica
first_indexed 2018-08-22T17:39:27Z
last_indexed 2018-08-22T17:39:27Z
language eng
format Online
author Campos, Eduardo Lima
Cysne, Rubens Penha
spellingShingle Campos, Eduardo Lima
Cysne, Rubens Penha
Sustainability of the Brazilian public debt: An analysis using multicointegration
author_facet Campos, Eduardo Lima
Cysne, Rubens Penha
author_sort Campos, Eduardo Lima
title Sustainability of the Brazilian public debt: An analysis using multicointegration
title_short Sustainability of the Brazilian public debt: An analysis using multicointegration
title_full Sustainability of the Brazilian public debt: An analysis using multicointegration
title_fullStr Sustainability of the Brazilian public debt: An analysis using multicointegration
title_full_unstemmed Sustainability of the Brazilian public debt: An analysis using multicointegration
title_sort sustainability of the brazilian public debt: an analysis using multicointegration
topic_facet public debt
debt sustainability
multicointegration
deuda pública
sostenibilidad de la deuda
multicointegración
description According to Bohn (1995), conventional econometric analysis of sustainability, based on unit root tests on the government debt-to-GDP series or cointegration analysis between revenues and expenses, are inconclusive to verify the sustainability of the fiscal policy. This paper uses the multicointegration method to investigatethe validity of a long-term relationship between the Brazilian government`s accumulated revenues and expenses and its debt, all expressed as a proportion of GDP. Leachman et al. (2005) argue that this technique allows concluding about the sustainability or not of fi scal policy. The present work considers specificationsthat allow evaluating the reaction of both accumulated revenues and expenses to changes in the debt-to-GDP, using monthly data from December 1997 to June 2018. We conclude that the Brazilian fiscal policy was unsustainable over the study period, due to the excessive government spending and its growing trajectory, mainly at the end of the sample.
publisher EdiUNS
publishDate 2020
url https://revistas.uns.edu.ar/ee/article/view/1944
_version_ 1760274138098827264
score 12,614403

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