THE TIME-(IN)VARIANT INTERPLAY OF GOVERNMENT SPENDING AND PRIVATE CONSUMPTION IN BRAZILResumo
O presente estudo analisa a relação entre gasto público e consumo privado no Brasil através de um modelo VAR com parâmetros variantes no tempo e volatilidade estocástica, estimado com simulação bayesiana para o período 1996:T1–2014:T2. Nossos resultados revelam que a política fiscal é de fato efetiva para estimular o PIB e o consumo privado, caracterizando a presenção de multiplicadores keynesianos positivos. Porém, tais efeitos positivos apenas são sustentados no curtíssimo-prazo. Além disso, a volatilidade estocástica se reduziu a partir de 2000, revelando um ambiente macroeconômico mais sólido após a adoção do regime de metas para inflação e da Lei de Responsabilidade Fiscal.
Palavras-chave:
Gasto Público; Consumo Privado; TVP-VAR
Notes: Shaded area corresponds to Luiz Inácio “Lula” da Silva 1st and 2nd terms as president; government spending (GS), private consumption (PC) and GDP are all expressed in real per capita terms and seasonally adjusted; short-term interest rate is measured in nominal, annual terms.Sources: Brazilian Institute of Geography and Statistics (IBGE) and Brazilian Central Bank (BCB).
Notes: Shaded area corresponds to Luiz Inácio “Lula” da Silva 1st and 2nd terms as president; government spending growth rate (gGS), private consumption growth rate (gPC) and GDP growth rate (gGDP) are all measured as the percent rate of increase in their respective real per capita values.Sources: Compiled by the authors.
Notes: Sample autocorrelations (top), sample paths (middle) and posterior densities (bottom).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported. Posterior mean (solid line) and 95% credible intervals (dotted line).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported. Posterior mean (solid line) and 95% credible intervals (dotted line).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported.
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Posterior mean (solid line) and 95% credible intervals (dotted line).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported.
Notes: Sample autocorrelations (top), sample paths (middle) and posterior densities (bottom).
Notes: Sample autocorrelations (top), sample paths (middle) and posterior densities (bottom).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported. Posterior mean (solid line) and 95% credible intervals (dotted line).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported. Posterior mean (solid line) and 95% credible intervals (dotted line).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported. Posterior mean (solid line) and 95% credible intervals (dotted line).
Notes: The terms gGS, gPC and gGDP refer to government spending, private consumption and GDP growth rates, respectively. DSTIR is the short-term interest rate in its first difference. Only median responses are reported. Posterior mean (solid line) and 95% credible intervals (dotted line).