Dominância fiscal ou dominância monetária no Brasil?: uma análise de causalidade

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

Brazils inflation targeting regime, which requires a floating exchange rate regime, coupled with high primary fiscal surpluses, helped absorb the external and domestic shocks that hit the economy in post-Real Plan period, maintaining inflation under control. However, a number of authors, such as Blanchard, Tanner e Ramos, and others advocate the predominance of a fiscal dominance regime in Brazil. Applying the new methodology to test unit root hypothesis, the Perron test for structural breaks, the autoregressive distributed lag models, and Engle-Granger cointegration test, the main objective of this study is to investigate the time precedence relationship among the nominal interest rate, debt/GDP ratio, primary surplus/GDP ratio, the real exchange rate and risk premium series. The Granger causality test, and its modifications proposed by ENGLE and GRANGER (1987), is used in order to verify the empirical evidence of the predominance of a fiscal or monetary dominance regime in Brazil in the post-Real period, according to definitions proposed by SARGENT e WALLACE (1981) and BLANCHARD (2005). In conclusion, this study indicates Brazil as a country under a monetary dominance regime.

ASSUNTO(S)

teste de co-integração de engle-granger finanças públicas; economia monetária brasil engle-granger cointegration test fiscal dominance regime teste de causalidade de engle-granger teste de causalidade de granger economia monetaria e fiscal granger causality test monetary dominance regime regime de dominância monetária regime de dominância fiscal engle-granger causality test

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