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International Spillovers of U.S. Fiscal Dominance : A panel regression and VAR analysis on the spillover effects of U.S. fiscal dominance on the policy rates in emerging and developed economiesWidholm, Frida, Eldén, William January 2024 (has links)
Expansionary fiscal policies have increased significantly following the subprime crisis in 2007, leading to fiscal dominance, where the monetary authority is forced to deviate from policy targets to accommodate fiscal policies. Meanwhile, peripheral economies are constantly influenced by monetary and fiscal conditions in centre economies, with the United States (U.S.) as the predominant force. In light of this development, this study employs panel regressions and panel VAR models to examine the potential international spillovers from U.S. fiscal dominance to the policy interest rates in Emerging Market Economies (EMEs) and Developed Economies (DEs). We introduce a new measurement of fiscal dominance using principal components analysis and extend the concept to an international perspective, as opposed to previous literature, which has examined fiscal dominance in a domestic environment. The results, along with the robustness checks, show that U.S. fiscal dominance negatively affects the policy rates in both EMEs and DEs, with a greater impact observed in EMEs. Moreover, a high degree of financial repression and a low degree of foreign investor appetite are associated with larger spillover effects from U.S. fiscal dominance. Our findings suggest that policymakers need to consider the effects of U.S. fiscal dominance when designing macroprudential policies. Policies should aim to boost foreign liability inflows and reduce financial repression to build resilience against spillover effects on policy rates from the U.S. fiscal dominance.
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A interação entre regimes de dominância fiscal e monetária no Brasil entre 2011 e 2016Fernandes, João Souza January 2017 (has links)
Este trabalho analisa se entre 2011 e 2016 a economia brasileira operou sob um regime de dominância fiscal ou de dominância monetária. Considerando que cada um destes regimes implica ações diametralmente opostas para a política econômica, a identificação de qual regime está em vigor é de fundamental importância para as autoridades fiscal e monetária. Para realizar esta avaliação, foram testados quatro modelos distintos, cada qual com uma estrutura particular que objetiva identificar sob qual regime a economia está operando. De modo geral, os resultados apontaram que durante o período de interesse predominou o regime de dominância monetária. Contudo, há sinais de que em determinados momentos a economia se encontrou próxima um regime de dominância fiscal, algo que implica em alterações na importância das políticas fiscal e monetária para o equilíbrio da economia. / This paper analyzes if between 2011 and 2016 the Brazilian economy operated under a regime of fiscal dominance or monetary dominance. Considering that each of these regimes implies diametrically opposed actions for the economic policy, the identification of which regime is in force is of fundamental importance for the fiscal and monetary authorities. In order to carry out this evaluation, four distinct models were tested, each one with a particular structure that aims to identify under which regime the economy is operating. In general, the results pointed out that during the period of interest the regime of monetary dominance prevailed. However, there are signs that at certain times the economy has found itself close to a regime of fiscal dominance, something that implies changes in the importance of fiscal and monetary policies for the equilibrium of the economy.
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Inflation Targeting And Fiscal Dominance: Evidence From TurkeySel, Tugba 01 September 2007 (has links) (PDF)
ABSTRACT
INFLATION TARGETING AND FISCAL DOMINANCE:
EVIDENCE FROM TURKEY
SEL, TUgBA
M.Sc., Department of Economics
Supervisor: Prof. Dr. Erdal Ö / zmen
September 2007, 60 pages.
This study investigates the significance of fiscal dominance for an inflation targeting regime in the context of the recent Turkish experience. To this end, capital flows and country risk equations are estimated for the Turkish monthly data pertaining the inflation targeting regime implementation period. The results from the capital flows models based on portfolio approach strongly suggest that the real effective exchange rates in Turkey during the period are determined by foreign interest rates and the Emerging Markets Bond Index (EMBI) but not by the domestic interest rates in the long run. This supports the view that the risk premium channel dominates the standard portfolio channel in the determination of real exchange rates in Turkey during the period. The country risk of Turkey, proxied by the EMBI spread in the long run is determined by risk appetite of foreign investors and domestic variables including real debt stock, real consolidated budget balance, international gross reserves, current account deficits and credit ratings. All these results are found to be important manifestations of the presence fiscal dominance in Turkey. Consequently, contrary to the postulations of the conventional monetary policy transmission mechanism, interest rate increases to cope with inflationary pressures may lead to an inflation acceleration, rather than the reverse.
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A interação entre regimes de dominância fiscal e monetária no Brasil entre 2011 e 2016Fernandes, João Souza January 2017 (has links)
Este trabalho analisa se entre 2011 e 2016 a economia brasileira operou sob um regime de dominância fiscal ou de dominância monetária. Considerando que cada um destes regimes implica ações diametralmente opostas para a política econômica, a identificação de qual regime está em vigor é de fundamental importância para as autoridades fiscal e monetária. Para realizar esta avaliação, foram testados quatro modelos distintos, cada qual com uma estrutura particular que objetiva identificar sob qual regime a economia está operando. De modo geral, os resultados apontaram que durante o período de interesse predominou o regime de dominância monetária. Contudo, há sinais de que em determinados momentos a economia se encontrou próxima um regime de dominância fiscal, algo que implica em alterações na importância das políticas fiscal e monetária para o equilíbrio da economia. / This paper analyzes if between 2011 and 2016 the Brazilian economy operated under a regime of fiscal dominance or monetary dominance. Considering that each of these regimes implies diametrically opposed actions for the economic policy, the identification of which regime is in force is of fundamental importance for the fiscal and monetary authorities. In order to carry out this evaluation, four distinct models were tested, each one with a particular structure that aims to identify under which regime the economy is operating. In general, the results pointed out that during the period of interest the regime of monetary dominance prevailed. However, there are signs that at certain times the economy has found itself close to a regime of fiscal dominance, something that implies changes in the importance of fiscal and monetary policies for the equilibrium of the economy.
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Interação entre a política fiscal e monetária: uma análise sobre o regime de dominância vigente na economia brasileira.Nobrega, Wellington Charles Lacerda 26 February 2016 (has links)
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Previous issue date: 2016-02-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This research aims to investigate the dominance regime (monetary or fiscal) prevailing in Brazilian economy in the period from 2003 to 2015. For this, an autoregressive vectors model (VAR) was used as first approach. The results of this step suggest the existence of a monetary dominance relationship, as described by Sargent and Wallace (1981) and Blanchard (2004). However, a structural change in the relationship between variables was verified. And, through multiple regressions of debt equation with the inclusion of dummy variables, was found that the money supply began to show negative relationship with public debt, suggesting that the expansion of the monetary base was used to stabilize public accounts. This results suggests that there is evidence of a fiscal dominance regime for the recent period. Fact borne out by the Markov-Switching autoregressive vectors model (MS-VAR), where it identified the existence of two clearly defined regimes in the analyzed period. / Esta pesquisa tem o propósito de investigar o regime de dominância (monetária ou fiscal) vigente na economia brasileira no período de 2003 a 2015. Para isso, empregou-se o modelo de vetores autorregressivos (VAR) como primeiro exercício. Os resultados obtidos nessa etapa sugerem a existência de uma relação de dominância monetária, conforme descrito por Sargent e Wallace (1981) e Blanchard (2004). Entretanto, verificou-se uma mudança estrutural na relação entre as variáveis no ano de 2011. E, por meio de regressões múltiplas da equação da dívida com inclusão de variáveis dummies, foi possível verificar que a oferta monetária passou a apresentar relação negativa com a dívida, sugerindo que a expansão da base monetária foi utilizada para estabilizar as contas públicas. Esse resultado sugere que há indícios de um regime de dominância fiscal para o período recente. Fato corroborado pelo método de vetores autorregressivos com mudança markoviana (MS-VAR), onde este identificou a existência de dois regimes bem definidos no período analisado.
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A interação entre regimes de dominância fiscal e monetária no Brasil entre 2011 e 2016Fernandes, João Souza January 2017 (has links)
Este trabalho analisa se entre 2011 e 2016 a economia brasileira operou sob um regime de dominância fiscal ou de dominância monetária. Considerando que cada um destes regimes implica ações diametralmente opostas para a política econômica, a identificação de qual regime está em vigor é de fundamental importância para as autoridades fiscal e monetária. Para realizar esta avaliação, foram testados quatro modelos distintos, cada qual com uma estrutura particular que objetiva identificar sob qual regime a economia está operando. De modo geral, os resultados apontaram que durante o período de interesse predominou o regime de dominância monetária. Contudo, há sinais de que em determinados momentos a economia se encontrou próxima um regime de dominância fiscal, algo que implica em alterações na importância das políticas fiscal e monetária para o equilíbrio da economia. / This paper analyzes if between 2011 and 2016 the Brazilian economy operated under a regime of fiscal dominance or monetary dominance. Considering that each of these regimes implies diametrically opposed actions for the economic policy, the identification of which regime is in force is of fundamental importance for the fiscal and monetary authorities. In order to carry out this evaluation, four distinct models were tested, each one with a particular structure that aims to identify under which regime the economy is operating. In general, the results pointed out that during the period of interest the regime of monetary dominance prevailed. However, there are signs that at certain times the economy has found itself close to a regime of fiscal dominance, something that implies changes in the importance of fiscal and monetary policies for the equilibrium of the economy.
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Policy coordination, budget deficit and inflation in Pakistan / La coordination des politiques, le déficit budgétaire et l'inflation au PakistanAhmad, Bashir 08 November 2016 (has links)
Tout au long de l'histoire du Pakistan depuis son indépendance, la domination budgétaire est restée une norme, à la fois dans les régimes démocratiques et militaires. Cette augmentation de la persistance du déficit budgétaire a dilué la performance du secteur réel et affecté négativement la balance des paiements, ce qui provoque l'inflation dans l'économie. L'expérience du Pakistan montre que d'importants déficits budgétaires ont conduit le gouvernement à des emprunts excessifs de la banque d'État du Pakistan (SBP) et par conséquent à une vaste impression de l'argent. Dans une telle situation, la banque centrale se retrouve avec peu d'espace pour exterminer les chiffres croissants d'inflation et d'assurer une croissance saine. Sur la base de toutes ces preuves et l'échec de la politique monétaire pour maintenir les prix dans des limites acceptables, l'économie du Pakistan est supposée victime de la domination budgétaire - également connu sous le régime de non-ricardienne. Cependant, il n'y a guère de preuves où une étude approfondie est menée pour prouver la domination budgétaire au Pakistan, puis définir une politique pour y remédier. Dans ce contexte, notre thèse porte sur la domination budgétaire et le niveau d'inflation élevé en conséquence, qui est resté élevé pendant presque une décennie. Nous allons mener quatre études, allant de l'identification de la domination budgétaire dans l'économie du Pakistan pour évaluer l'impact de la politique budgétaire sur la croissance et l'inflation. La première étude est liée à la littérature sur les théories de dominance fiscale, où la politique budgétaire agit activement et la politique monétaire suit passivement. Le deuxième modèle, la théorie budgétaire du niveau des prix (FTPL), affirme que la dette publique et la politique budgétaire déterminent principalement le niveau des prix dans une économie. Le troisième modèle examine la fiscalisation optimale et le revenu du seigneuriage. Le concept est basé sur Sidrauski (1967) modèle. La notion du modèle est que le niveau général des prix plus élevés déforme la demande de monnaie et augmente ainsi le bien-être. Lorsque les revenus du gouvernement sont en deçà de ses dépenses, le gouvernement finance son déficit budgétaire grâce à la génération des revenus de seigneuriages. Dans notre quatrième étude, nous mesurons la réponse de l'inflation et de la croissance à l'évolution de la politique budgétaire tout en tenant compte des comportements des détenteurs de dépôts et l'industrie bancaire. / The central bank uses policy rates for reducing inflation. However, policy rates become less affective in comparison to bond’s rates when convertibility between bonds of different maturities decreases. This makes monetary policy ineffective if the government borrows heavily from the domestic market and an active fiscal policy, aiming to increase the economic activity, stimulates inflationary pressure. Throughout the history of Pakistan since its independence, fiscal dominance remained a norm, both in the democratic and military regimes. During the last three decades, the economy of Pakistan is faced with serious fiscal deficit tribulations. Increasing public debt stock and dilapidated tax-to-GDP ratio are grave hurdles in reducing the widening fiscal deficit. This persistence increase in the fiscal deficit has diluted the real sector performance and negatively affected the balance of payments position, causing inflation in the economy. Further, it makes government dependent on huge borrowing from internal and external sources and pushed it to increased debt servicing intricacy. Despite recurring efforts on part of government, no evident success is witnessed to reduce the ever increasing fiscal deficit. Large fiscal deficits have led the government of Pakistan to excessive borrowing from central bank of the country (SBP) and consequently to extensive printing of money.Though, SBP imposed an upper ceiling on government borrowing to reduce its public borrowing from central bank. However, the government never respected these ceilings and compromised the independence of central bank. This dependence on local money market for financing budget deficit increased money base, caused crowding out of private sector, resulted in high printing of money and reduced the monetary policy space to exterminate high inflation. Such a situation restricts the monetary policy to offset the distortions existing in the economy and to achieve its desired goals. Such scenario advocates a dire need of fiscal and monetary policy coordination to strike an appropriate balance between growth and inflation. In this context, our thesis focuses on fiscal dominance and the consequent high inflation level, which remained lofty for almost a decade. We conduct four studies, ranging from the identification of fiscal dominance in the economy of Pakistan to gauging the impact of fiscal policy on growth and inflation.The first study is related to literature on fiscal dominance theories, where fiscal policy acts actively and monetary policy follows passively. To establish that the decades long high inflation in Pakistan is solely because of fiscal dominance, a second study is conducted to analyze the interest rate pass through mechanism in Pakistan. In the third step, it uses corporate governance proxies, capital structure proxies and ownership structure proxies to investigate their links with bank’s performance. In our fourth study, we gauge the response of inflation and growth to changes in fiscal policy while taking into account deposit holders behavior and banking industry.
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[en] INFLATION TARGETING UNDER FISCAL DOMINANCE: LESSONS TO BRAZIL / [pt] METAS PARA A INFLAÇÃO SOB DOMINÂNCIA FISCAL: POSSÍVEIS IMPLICAÇÕES PARA O CASO BRASILEIROMAURICIO BUSNELLO FURTADO 06 March 2018 (has links)
[pt] O presente trabalho procura investigar as implicações de se seguir um regime de meta para a inflação sob dominância fiscal. Para isto é desenvolvido um modelo novo keynesiano de equilíbrio geral dinâmico estocástico (DSGE) em que a autoridade monetária segue uma regra de Taylor, com o objetivo de estabilizar a inflação e o produto, e a autoridade fiscal segue uma regra de superávit primário, com a finalidade de se estabilizar a dívida pública. Este modelo se caracteriza por apresentar uma coordenação entre as autoridades fiscal e monetária em que a política monetária é dominante. Posteriormente, a regra monetária é modificada para incorporar uma resposta da autoridade monetária à dívida pública e a regra fiscal passa a ser exógena (ativa), caracterizando um regime de dominância fiscal. Por fim, o modelo é calibrado com os parâmetros estimados por De Castro et al (2015) para a economia brasileira e são computadas as variâncias da taxa de inflação e do produto (proxies para a perda de bem estar decorrente das flutuações econômicas) nos diferentes regimes de coordenação política para distintas parametrizações das funções de reação das autoridades monetária e fiscal. Mostra-se, assim, que, quando se está em regime de dominância fiscal, o mais indicado à autoridade monetária é não reagir à inflação de modo agressivo. Em outros termos, isto significa que se o Banco Central quer que a inflação fique na meta – como requer um regime de meta -, ele não pode de forma alguma ignorar a postura da autoridade fiscal. / [en] The present work seeks to investigate the implications of following an inflation targeting regime under fiscal dominance. For this, a new Keynesian dynamic stochastic general equilibrium (DSGE) model is developed in which the monetary authority follows a Taylor rule with the objective of stabilizing inflation and output, and the fiscal authority follows a primary surplus rule, with The purpose of stabilizing public debt. This model is characterized by a coordination between the fiscal and monetary authorities in which monetary policy is dominant. Subsequently, the monetary rule is modified to incorporate a response of the monetary authority to the public debt and the fiscal rule becomes exogenous (active), characterizing a regime of fiscal dominance. Finally, the model is calibrated with the parameters estimated by De Castro et al. (2015) for the Brazilian economy and the inflation rate and output gap variances (proxies for the welfare losses due to economic fluctuations) are computed in the different regimes and under different specifications of the monetary and fiscal authorities reaction functions. It is shown that under a fiscal dominance regime, the monetary authority should not react aggressively to inflation. In other words, this means that if the Central Bank wants inflation to stay in it s target level - as it is required under an inflation targeting regime - it cannot in any way ignore the fiscal authority s stance.
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[en] HIGH INTEREST RATES IN BRAZIL: A THEORETICAL APPROACH / [pt] JUROS ALTOS NO BRASIL: UMA ABORDAGEM TEÓRICARICARDO FIBE GAMBIRASIO 11 October 2006 (has links)
[pt] Esta dissertação visa propor e analisar, no contexto de
modelos dinâmicos
estocásticos de equilíbrio geral com rigidez de preços,
possíveis explicações para
o fato estilizado de que o juro no Brasil é excessivamente
alto. As implicações
de diferentes hipóteses aplicadas aos modelos serão
analisadas através de funções
de resposta a impulso (FRIs). Será analisada, quando
possível, a evidência
empírica disponível na literatura a favor ou contra cada
hipótese, e as FRIs
mostrarão o comportamento dinâmico da economia calibrada
sob cada hipótese.
São compatíveis com um juro real básico mais alto por um
período prolongado as
seguintes hipóteses: alta taxa subjetiva de desconto
intertemporal, alta indexação
de preços, baixa potência da política monetária, e
diminuição da credibilidade do
Banco Central frente o crescimento da dívida pública (um
caso de dominância
fiscal). / [en] This work proposes and analyses, in the context of dynamic
stochastic
general equilibrium models with price rigidities, possible
explanations for the
stylized fact that interest rates in Brazil are
exceedingly high. The implications
of different hypothesis applied to the model are analyzed
through impulse
response functions (IRFs). Whenever possible, empirical
evidence available in
the literature for or against each hypothesis is analyzed,
and the IRFs show the
dynamical behavior of the economy calibrated accordingly.
The following are
consistent with a higher basic interest rate for an
extended period: high subjective
intertemporal discount rate, high price indexation, low
monetary policy power,
and decreasing Central Bank s credibility caused by public
debt growth (an
example of fiscal dominance).
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Interação entre as políticas fiscal e monetária brasileiras no período pós-Plano Real: uma análise de causalidade com aplicação do modelo VARMachado, Joanito Teixeira 11 May 2010 (has links)
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Previous issue date: 2010-05-11 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This study consists in the analyses of the relations of causality among some of the main variables
of Brazilian fiscal and monetary policies in the period post-Plano Real (1995-2008). The study
was concentrated in the identification of the impacts of each one of the variables over the
determination of the temporal path of each another. Initially, the work systematizes the theorist
debate about the subject in two divergent axes: i) The hypothesis of fiscal dominance, that
identificates the main determinants of the persistent contracionist monetary policy in the
expansionist fiscal policy. ii) An alternative hypothesis that identificates the main determinants of
the fiscal disequilibrium of the public sector in Brazil in the contracionist monetary policy, in the
persistent overvaluation of the Real and in the strategy of international insertion of the country in
the last two decades. Even, the study presents an econometric analyses of temporal series about
fiscal policy, monetary policy and exchange rate policy in Brazil in the period of January/1995-
December/2008. The econometric analyses consists in the application of the Vector
Autorregressive Model (VAR) and of the Granger Causality Test / Este estudo consiste numa análise das relações de causalidade existentes entre algumas
das principais variáveis de políticas fiscal e monetária brasileiras no período pós-Plano Real
(1995-2008), concentrando-se na identificação dos impactos que cada uma das variáveis exerceu
sobre a determinação da trajetória temporal das demais. Buscou-se, inicialmente, sistematizar o
debate teórico travado acerca do tema em torno de dois eixos divergentes, quais sejam, i) o que
aceita a hipótese da dominância fiscal e identifica no manejo de uma política fiscal supostamente
expansionista o principal determinante da natureza persistentemente contracionista da política
monetária durante o período; e ii) o que rejeita esta hipótese, idenficando, ao contrário, no
manejo da política monetária contracionista e da política cambial marcada pela persistente
sobrevalorização da moeda nacional bem como na peculiar inserção internacional do país, dada
ao longo das últimas duas décadas, os principais determinantes do persistente desequilíbrio fiscal
do setor público. O estudo inclui ainda uma análise econométrica de séries temporais referentes
às políticas fiscal, monetária e cambial, para o período de janeiro de 1995 a dezembro de 2008,
baseada na aplicação do modelo de Vetores Auto-Regressivos (VAR) e no teste de causalidade
de Granger
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