Campos, Eduardo Lima; Cysne, Rubens Penha

doi:10.1590/0101-41614911ecr

Eduardo Lima Campos

Professor at Escola Nacional de Ciências Estatísticas (ENCE/IBGE) Endereço: Rua André Cavalcanti, 106 - sala 410 - Rio de Janeiro/RJ - Brasil - CEP 20231-050 E-mail: eduardolimacampos@yahoo.com.br

http://orcid.org/0000-0002-7294-8947

Rubens Penha Cysne

Professor at Escola Brasileira de Economia e Finanças da Fundação Getúlio Vargas (EPGE/FGV) Endereço: Praia de Botafogo, 190 - Sala 1100 - Rio de Janeiro/RJ - Brasil - CEP: 22250-900 E-mail: rubens.cysne@fgv.br

Cointegrating Eq:	CointEq1

s(-1)	1.000000
s(-1)
b(-1)	-0.054835
	(0.00702)
	[-7.81054]
se(-1)	2.11E-05
	(7.2E-06)
	[2.93056]
C	-0.023867
	(0.00935)
	[-2.55262]
Error Correction:	D(s)	D(b)	D(se)
CointEq1	-0.024363	-0.127823	-0.005615
	(0.01179)	(0.03499)	(0.00587)
	[-2.06715]	[-3.65341]	[-0.95744]
D(s(-1))	0.066173	-0.382277	-0.035221
	(0.08126)	(0.24124)	(0.04044)
	[0.81431]	[-1.58464]	[-0.87096]
D(b(-1))	-0.036445	0.036465	0.012412
	(0.02831)	(0.08404)	(0.01409)
	[-1.28738]	[0.43390]	[0.88100]
D(se(-1))	2.60E-09	8.99E-09	0.409966
	(7.8E-08)	(2.3E-07)	(0.07435)
	[0.03353]	[0.03958]	[-5.51383]
h(-1)	0.046021	-0.115643	0.008571
	(0.01201)	(0.03567)	(0.00598)
	[3.83039]	[-3.24227]	[1.43347]
D(r(-1))	0.009336	-0.122574	0.002388
	(0.02008)	(0.05962)	(0.00999)
	[0.46482]	[-2.05581]	[0.23889]

Dependent variable: consolidated primary result of the public sector in relation to GDP (st)
control	Kalman	Penalized spline	Time-varying
variables	filter	smoothing	cointegration
s_t-i: primary result/GDP (at t-1)	0.9318^** * significant at 10% level.	0.9975^** * significant at 10% level.	1.0662^** * significant at 10% level.
b_t-1: debt-to-GDP ratio (at t-1)	0.0567 ^** * significant at 10% level.	0.0624 ^** * significant at 10% level.	0.0527 ^** * significant at 10% level.
h_t-1: output gap (at t-1)	0.0434^** * significant at 10% level.	0.0194^** * significant at 10% level.	0.0580^** * significant at 10% level.
se_t-1: current transaction deficit (at t-1)	-1.81x10^-5^** * significant at 10% level.	-1.14x10^-5^* * significant at 10% level.	-2.32x10^-5^** * significant at 10% level.
i*_t-1: implicit interest rate (at t-1)	-0.0282^* * significant at 10% level.	-0.0877^* * significant at 10% level.	-
r_t-1: debt risk = EMBI/S&P (at t-1)	-	-	-0.0093

	Mean square error	Mean absolute error
Kalman filter	1.1388 x 10^-5	0.0029
Penalized spline smoothing	9.7451 x 10^-5	0.0046
Time-varying cointegration	1.8219 x 10^-4	0.0068

	Observations outside	Actual/real coverage
Kalman filter	11	93.21%
Penalized spline smoothing	13	91.98%
Time-varying cointegration	16	90.12%

	SINCE JAN 2003	SINCE JAN 2012	SINCE JAN 2014
SELIC (ln)	12.31	10.11	12.79
% (Nominal) GDP (ln)	10.80	8.16	6.69
FISCAL REACTION	5.67	4.75	4.27
SELIC - gdp	1.51	1.95	6.10
SUSTAINABILITY (SELIC - GDP < FISCAL REACTION)	SUSTAINABLE	SUSTAINABLE	UNSUSTAINABLE

	SINCE JAN 2003	SINCE JAN 2012	SINCE JAN 2014
IMPLICIT (ln)	15.68	17.86	20.39
% (Nominal) GDP (ln)	10.80	8.16	6.69
FISCAL REACTION	5.67	4.75	4.27
IMPLICIT- GDP	4.88	9.70	13.70
SUSTAINABILITY (SELIC - GDP < FISCAL REACTION)	SUSTAINABLE	UNSUSTAINABLE	UNSUSTAINABLE

Variables	ADF			DF-GLS		MZα		KPSS
Variables	Standard	C	LT	C	LT	C	LT	C	LT
Output Gap (h_t)	-3.57***	-3.24**	-3.8**	-1.92*	-3.39**	-7.07*	-18.9**	0.17	0.08
Inflation (π_t)	-1.06	-2.05	-2.82	-1.86*	-2.39	-6.13*	-12.14	0.66**	0.19**
Debt Risk (r_t)	-1.19	-2.08	-3.21*	-1.17	-2.45	-3.06	-9.94	0.75***	0.21**
Debt/GDP (b_t)	-0.91	-1.93	-3.27*	-0.89	-1.97	-5.52	-12.1	1.45***	0.32***
Surplus/GDP (s_t)	-1.02	-1.97	-3.18*	-1.01	-2.22	-4.27	-10.9	1.04***	0.27***
F. Savings (se_t)	-1.71*	-2.65*	-3.23*	-1.51	-2.52	-1.27	-9.9	0.49**	0.16**
Selic (i_t)	-1.75*	-2.62*	-3.17*	-1.78*	-2.87*	-5.59	-14.54*	0.98***	0.29***
Int. Implied (i_t*)	-1.55	-2.46	-2.99	-1.69*	-2.74*	-5.36	-12.53	1.18***	0.31***
Critical Values
1%	-2.58	-3.47	-4.02	-2.58	-3.50	-13.8	-23.8	0.74	0.22
5%	-1.94	-2.88	-3.44	-1.94	-2.97	-8.1	-17.3	0.46	0.15
10%	-1.62	-2.58	-3.14	-1.62	-2.68	-5.7	-14.2	0.35	0.12

Variable	Estimate
Intercept (µ_t)	ϕ₁ = -0.0239
Debt/GDP (b_t)	ϕ₂ = 0.9537
Surplus/GDP at _t-1 (s_t-1)	ϕ₃₁ = 0.9956
Foreign Savings (se_t)	ϕ₃₂ = 0.8347
Output Gap (h_t)	ϕ₃₃ = -0.9741
Debt Risk (r_t)	ϕ₃₄ = 0.7782

Brasil

Brasil

A Time-Varying Fiscal Reaction Function for Brazil ♦ ♦ This study was financed in part by the Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - Brasil (CAPES) - Finance Code 001

Resumo

A Time-Varying Fiscal Reaction Function for Brazil ^♦ ♦ This study was financed in part by the Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - Brasil (CAPES) - Finance Code 001