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Master's Dissertation
DOI
10.11606/D.12.2007.tde-18032008-124010
Document
Author
Full name
Priscilla Burity
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2007
Supervisor
Committee
Rocha, Fabiana Fontes (President)
Gonçalves, Carlos Eduardo Soares
Mattos, Enlinson Henrique Carvalho de
Title in Portuguese
A natureza da relação entre as políticas fiscal e monetária: uma análise do caso brasileiro entre 1995 e 2006
Keywords in Portuguese
Política econômica
Política fiscal
Política monetária
Abstract in Portuguese
Analisamos a interação entre as políticas fiscal e monetária na história econômica recente do país, avaliando em que medida essas políticas atuaram de forma complementar ou substitutiva. O trabalho que seguiu a linha de Zoli (2005), adotando algumas propostas de Mélitz (2000). Focamos, desta forma, na estimação de uma função de reação da política monetária às variáveis fiscais, controlando tal reação por outras variáveis que afetam o primeiro instrumento. Regredimos as equações utilizando o método MQO com matriz de variância e covariância robusta a autocorrelação e heterocedasticidade (Newey-West HAC). Para melhor avaliar a evolução do valor e da significância do coeficiente de reação da política monetária à fiscal realizamos regressões em janelas móveis de vinte e vinte e quatro trimestres. Encontramos indícios de que a política de juros, no período pré-1999, respondeu mais a variáveis relativas às crises financeiras internacionais e a risco. Por outro lado, a maioria das nossas especificações sugeriu haver uma mudança estrutural na natureza dessa interação no período pós-1999Q2. A partir desse trimestre, encontramos maiores indícios de que as políticas atuaram de forma complementar, atuando no mesmo sentido (ambas contracionistas, ou ambas expansionistas).
Title in English
The interaction between monetary and fiscal policies brazilian experience between 1995 and 2006
Keywords in English
Fiscal policy
Monetary policy
Abstract in English
We analyzed the interaction between fiscal and monetary policies in the recent Brazilian economy, searching in what sense these policies were conducted in complementary or substitutive way. This work followed the proposition of Zoli (2005) and adopted some suggestions of Mélitz (2000). We estimated a monetary policy reaction function, focusing in the reaction of this instrument to fiscal indicators. We adopted the OLS method with variance estimates robust to autocorrelation and heteroscedasticity (Newey-West HAC). To comprehend the evolution of magnitude and significance of the monetary policy reaction to fiscal policy, we regressed equations in moving window of twenty and twenty-four months length. We found indications that the interest rate policy, in the pre-1999 years, reacted mainly to variables related to the financial crisis of those years and to sovereign risk indicators. In the other hand, most of our specifications suggested a structural break in the nature of this interaction in 1999Q3. This quarter on, we found evidences that monetary and fiscal policies were conducted in a complementary way (both tight or both easy).
 
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Publishing Date
2008-03-25
 
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