A note on the Brazilian cross-state debt connectedness

Matos, Paulo; Pinheiro Júnior, Raimundo; Costa, Antonio

doi:10.5935/0034-7140.20220016

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Revista Brasileira de Economia

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Artigos • Rev. Bras. Econ. 76 (3) • Jul-Sep 2022 • https://doi.org/10.5935/0034-7140.20220016 copy

A note on the Brazilian cross-state debt connectedness^* * O presente artigo foi realizado com apoio da Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) - Código de Financiamento 001. Agradecemos a Elaine Aparecida Fernandes, Fernanda Aparecida Silva e ao parecerista pelos comentários e sugestões.

Authorship SCIMAGO INSTITUTIONS RANKINGS

Abstract

We address the cross-state indebtedness (DCL/RCL) variation connectedness using 89 bimonthly data from 2006b6 to 2021b4, based on the indices proposed by Diebold and Yilmaz (2009, 2012, 2014). This framework enables us to infer about the direction, and the strength of bilateral spillovers for a large number of simultaneously interacting variables in a clear and compact manner. We are able to identify the most influential states in each region, as well as the region with the highest total connectedness. This empirical exercise allows us to discuss the possible influence between state governments in conducting public policies associated with indebtedness. The results help us to better understand the consequences of total and directional indebtedness spillover across states in Brazil.

Keywords
regional influences; excessive indebtedness; relations between state governments; revisiting fiscal rules

	x ₁	x ₂	⋯	x _N	From others
x ₁	${\tilde{θ}}_{11}^{g} (H)$	${\tilde{θ}}_{12}^{g} (H)$	⋯	${\tilde{θ}}_{1 N}^{g} (H)$	$\sum_{j = 1}^{N} {\tilde{θ}}_{1 j}^{g} (H), j \neq 1$
x ₂	${\tilde{θ}}_{21}^{g} (H)$	${\tilde{θ}}_{22}^{g} (H)$	⋯	${\tilde{θ}}_{2 N}^{g} (H)$	$\sum_{j = 1}^{N} {\tilde{θ}}_{2 j}^{g} (H), j \neq 2$
⋮	⋮	⋮	⋱	⋮	⋮
x_N	${\tilde{θ}}_{N 1}^{g} (H)$	${\tilde{θ}}_{N 2}^{g} (H)$	⋯	${\tilde{θ}}_{N N}^{g} (H)$	$\sum_{j = 1}^{N} {\tilde{θ}}_{N j}^{g} (H), j \neq N$
To others	$\sum_{j = 1}^{N} {\tilde{θ}}_{j 1}^{g} (H), j \neq 1$	$\sum_{j = 1}^{N} {\tilde{θ}}_{j 2}^{g} (H), j \neq 2$	⋯	$\sum_{j = 1}^{N} {\tilde{θ}}_{j N}^{g} (H), j \neq N$	$\frac{1}{N} \sum_{i, j = 1}^{N} {\tilde{θ}}_{i j}^{g} (H), j \neq i$

State		Mean	S.D.	Asymmetry	Kurtosis	ADF
Acre	AC	−0.001	0.055	0.356	3.667	−9.207***
Alagoas	AL	−0.022	0.074	−2.088	14.049	−8.859***
Amazonas	AM	−0.003	0.076	2.022	19.636	−14.865***
Amapá	AP	−0.002	0.149	−0.886	11.306	−11.720***
Bahia	BA	−0.007	0.065	−1736	10.868	−11.457***
Ceará	CE	−0.003	0.054	−0.067	3.331	−8.860***
Distrito Federal	DF	−0.001	0.036	0.111	2.816	−11.732***
Espírito Santo	ES	−0.004	0.033	0.367	3.132	−10.940***
Goiás	GO	−0.016	0.053	0.051	6.523	−9.696***
Maranhão	MA	−0.010	0.070	0.486	4.007	−11.531***
Minas Gerais	MG	−0.003	0.072	0.478	3.891	−10.788***
Mato Grosso do Sul	MS	−0.018	0.038	0.445	3.557	−7.461***
Mato Grosso	MT	−0.014	0.048	0.644	3.410	−8.862***
Pará	PA	−0.005	0.034	0.413	3.190	−12.233***
Paraíba	PB	−0.009	0.044	0.239	3.586	−11.437***
Pernambuco	PE	−0.004	0.047	0.369	3.253	−11.581***
Piauí	PI	−0.006	0.083	−0.391	4.890	−12.532***
Paraná	PR	−0.010	0.070	2.410	15.792	−11.848***
Rio de Janeiro	RJ	0.003	0.110	−1.913	13.055	−5.843***
Rio Grande do Norte	RN	−0.000	0.070	1.596	18.020	−8.720***
Rondônia	RO	−0.009	0.143	0.238	22.323	−14.744***
Roraima	RR	−0.002	0.156	−0.257	5.310	−18.085***
Rio Grande do Sul	RS	−0.008	0.041	−0.842	4.809	−5.910***
Santa Catarina	SC	−0.007	0.065	3.550	24.883	−9.654***
Sergipe	SE	−0.003	0.040	−0.244	5.326	−9.492***
São Paulo	SP	−0.007	0.059	0.151	2.859	−9.995***
Tocantins	TO	0.001	0.078	−0.978	14.420	−13.160***

	Northeast Region
	AL	BA	CE	MA	PB	PE	PI	RN	SE	From
AL	62.59	4.99	3.02	6.41	6.29	5.93	3.91	2.88	3.98	37.41
BA	3.33	35.47	8.63	9.65	8.16	18.59	6.07	3.95	6.14	64.53
CE	2.70	9.87	33.08	9.49	12.82	13.94	5.71	1.41	11.00	66.92
MA	2.60	6.87	9.25	35.25	11.44	14.56	9.59	3.75	6.69	64.75
PB	3.20	6.96	10.76	12.00	32.73	16.47	8.26	6.97	2.66	67.27
PE	2.61	11.98	11.23	12.14	13.99	29.25	9.58	3.67	5.55	70.75
PI	1.92	5.47	6.24	12.02	11.15	15.43	37.28	6.14	4.35	62.72
RN	2.58	3.73	2.23	4.21	12.59	6.88	5.96	56.39	5.43	43.61
SE	2.93	8.59	11.94	8.73	3.77	8.65	5.44	1.14	48.82	51.18
To	21.85	58.46	63.29	74.64	80.21	100.45	54.52	29.91	45.81	58.79
Net	−15.56	−6.07	−3.63	9.89	12.94	29.69	−8.19	−13.70	−5.37	–

	North Region
	AC	AM	AP	PA	RO	RR	TO	From
AC	45.46	12.79	3.10	17.57	6.20	5.37	9.50	54.54
AM	8.98	61.13	6.04	8.65	9.35	1.66	4.20	38.87
AP	2.74	5.44	72.86	5.49	2.76	4.98	5.73	27.14
PA	13.69	7.29	4.23	49.46	6.96	5.45	12.92	50.54
RO	7.15	3.69	1.72	8.62	70.51	4.38	3.93	29.49
RR	5.52	3.52	15.08	11.08	0.90	62.30	1.60	37.70
TO	10.76	5.00	7.06	14.97	3.91	2.13	56.18	43.82
To	48.83	37.74	37.23	66.38	30.08	23.96	37.88	40.30
Net	−5.70	−1.14	10.09	15.84	0.59	−13.74	−5.94	–

	Midwest Region
	DF	GO	MS	MT	From
DF	57.61	2.91	12.27	27.20	42.39
GO	3.66	77.44	4.20	14.71	22.56
MS	14.17	3.93	63.53	18.37	36.47
MT	24.05	9.53	14.32	52.09	47.91
To	41.88	16.37	30.80	60.27	37.33
Net	−0.51	−6.19	−5.67	12.37	–

	Southwest Region
	ES	MG	RJ	SP	From
ES	58.41	12.31	9.58	19.71	41.59
MG	13.10	66.82	12.24	7.84	33.18
RJ	8.46	11.02	65.07	15.45	34.93
SP	19.50	6.92	15.39	58.19	41.81
To	41.06	30.25	37.20	43.00	37.88
Net	−0.54	−2.94	2.27	1.20	–

	South Region
	PR	RS	SC	From
PR	90.84	4.16	4.99	9.16
RS	3.46	82.55	13.99	17.45
SC	6.43	12.60	80.98	19.02
To	9.89	16.76	18.98	15.21
Net	0.74	−0.70	−0.04	–

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