Made available in DSpace on 2015-03-05T18:57:20Z (GMT). No. of bitstreams: 0 Previous issue date: 10 / Nenhuma / Um evento econômico que os formuladores de política têm enfrentado nas últimas décadas na América Latina é a questão do comportamento fiscal dos governos e a conseqüente (in)sustentabilidade da dívida pública e os seus efeitos sobre a economia. O fato é que a dívida dos governos aumentou exponencialmente em inúmeros países latino-americanos, tornando-se algumas vezes insustentável no curto prazo e conduzindo-os a uma série de defaults. Portanto, a política fiscal desempenha um papel relevante no processo de estabilização macroeconômica e nos ciclos econômicos. Dentro desse contexto, o presente estudo tem como objetivo geral avaliar a sustentabilidade da política fiscal para sete países latino-americanos utilizando um modelo de multicointegração, primeiramente apresentado por Granger e Lee (1989 e 1990) e, posteriormente, desenvolvido por Engsted, Gonzalo e Haldrup (1997), Haldrup (1998) e Leachman et al. (2005). O modelo apresenta uma série de critérios para verificar a existência de uma relação de multicoint / An economical event that the policymakers have been facing in the last decades, in Latin America, is the subject of the government's fiscal behavior and the consequent (un)sustainability of the public debt and your effects about the economy. The fact is that the government's debt increased exponentially at countless American Latin countries, becoming sometimes unsustainable in the short period, leading them to a defaults series. Therefore, the fiscal policy plays an important rule on the macroeconomic stabilization and on the economical cycles. Inside of this context, the present study has as general objective to evaluate the sustainability of fiscal policy of seven Latin America countries using the multicointegration methodology first apresented in Granger and Lee (1989, 1990) and, further, developed by Engsted, Gonzalo and Haldrup (1997) and Haldrup (1998) and Leachman et al (2005). The model presents a series of criterions to verify the existence of a multicointegration relationship among the receipts, sp

nÃo hà / Considerando o atendimento à restriÃÃo orÃamentÃria intertemporal do governo, analisa-se a solvÃncia das administraÃÃes pÃblicas municipais no Cearà a partir da proposta de Hamilton e Flavin (1986) e dos avanÃos de Levin et. al. (2002) e Im, Pesaran, and Shin (2003). Na impossibilidade de se praticar um jogo de Ponzi, uma administraÃÃo à considerada solvente se o dÃficit pÃblico segue uma trajetÃria estacionÃria. Para o exercÃcio empÃrico, dois testes de raiz unitÃria em painel sÃo utilizados e o perÃodo de anÃlise compreende os anos 2002 a 2008. Constata-se que as administraÃÃes pÃblicas municipais no Cearà sÃo solventes, muito embora uma anÃlise para oito macrorregiÃes tenha indicado que em duas delas a polÃtica fiscal seja insustentÃvel. Finalmente, a condiÃÃo de insolvÃncia nÃo parece ser determinada pelo tamanho econÃmico, jà a solvÃncia parece estar associada à afinidade polÃtica entre as prefeituras e as esferas maiores de governo. / Considering that the intertemporal budget constraint of the government is fulfilled, this work examines the long-run solvency of the public accounts of the municipalities of Ceara following Hamilton and Flavin (1986), Levin et al. (2002) and Im, Pesaran, and Shin (2003). If an administration does not use a Ponzi game it is considered solvent if the budget deficit has a stationary path. As an empirical exercise, two unit root tests in panel are used and the period of analysis covers the years 2002 to 2008. It appears that the municipalities governiments in Ceara are solvents, although an analysis for eight macro-regions has indicated that in two of them the fiscal policy is unsustainable. Finally, the condition of insolvency does not seem to be determined by economy size, since the solvency appears to be associated with political affinity between the municipalities and the larger spheres of government.

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The concern with persistant high government deficits and debts has been one of the most controversial and discussed issues among academics and policymakers during the last two decades of the twentieth century. Despite recent efforts towards fiscal consolidation in most developed countries, expensive welfare programs and unfunded social security systems can exert a considerable strain on public finances over the next generations. The main objective of this thesis is to investigate whether current fiscal policies are sustainable, that is, able to guarantee the government's solvency, and what are the consequences of unsustainability on monetization, inflation and interest rates. The first question is tested by examining the long-run univariate and multivariate stochastic properties of the fiscal variables, as implied by the intertemporal budget constraint. The second question is assessed within a vector autoregressive framework, which allows the consideration of feedback mechanisms often neglected in the literature. More specifically, the econometric methodology employed throughout the study comprises recent developments in cointegration analysis, panel data techniques, bounds-ARDL procedure, and Granger non-causality. The empirical analysis is focused on a comparative study of six core members of the European Union, during the post-war period: Belgium, France, Germany, Italy, Netherlands and United Kingdom. The evidence suggests that only Germany and the Netherlands have been following a sustainable fiscal path, although the latter remains vulnerable to the consequences of an ever-increasing stock of debt. However, unsustainable fiscal policies do not seem to have imposed an excessive burden on monetary policies, as predicted by the conventional economic theory. Apart from Italy, there is no empirical evidence that high deficits necessarily imply monetary financing, growing inflation and rising interest rates.

p. 1 - 138 / Submitted by Santiago Fabio (fabio.ssantiago@hotmail.com) on 2013-02-18T20:47:28Z No. of bitstreams: 1 111.pdf: 2211056 bytes, checksum: d3f615b89879c060315e97d0033fa51f (MD5) / Approved for entry into archive by Fatima Cleômenis Botelho Maria (botelho@ufba.br) on 2013-02-21T13:45:57Z (GMT) No. of bitstreams: 1 111.pdf: 2211056 bytes, checksum: d3f615b89879c060315e97d0033fa51f (MD5) / Made available in DSpace on 2013-02-21T13:45:57Z (GMT). No. of bitstreams: 1 111.pdf: 2211056 bytes, checksum: d3f615b89879c060315e97d0033fa51f (MD5) Previous issue date: 2007 / A presente dissertação tem por objetivo avaliar a sustentabilidade da política fiscal brasileira durante o período de 1995 a 2006, considerando a dinâmica do aumento da dívida pública federal, o comportamento das receitas e gastos governamentais e o comportamento do resultado primário frente a novos aumentos no endividamento público. A idéia básica consiste em verificar, no contexto macroeconômico vigente no período mencionado, se o governo conseguiu manter uma disciplina fiscal no sentido de estabelecer uma relação equilibrada entre receitas, gastos e resultado primário de forma a estabilizar e reduzir a relação dívida/PIB sem a necessidade de mudanças bruscas na condução da política fiscal. A sustentabilidade da política fiscal é analisada sob as dimensões temporal e financeira. A dimensão temporal aborda a evolução da Dívida Líquida do Setor Público (DLSP) em proporção do Produto Interno Bruto (PIB) utilizando o modelo de regressão estatística, enquanto que a dimensão financeira pressupõe a aplicação de testes econométricos de estacionariedade e co-integração das séries temporais mensais da DLSP, resultado primário, receitas e despesas totais do governo a fim de verificar o cumprimento de sua restrição orçamentária intertemporal. Os resultados dos testes demonstraram que a receita líquida não acompanhou de forma equivalente o aumento verificado nos gastos do governo central, apesar da existência de relação positiva entre as variáveis. O mesmo ocorreu para a relação entre o resultado primário e a DLSP. À luz da teoria econômica, a manutenção de tal situação implicará na possibilidade de acumulação de déficits futuros obrigando o governo a alterar bruscamente a condução da política fiscal de forma a manter a DLSP em níveis sustentáveis. Com base nos resultados obtidos, foi possível confirmar o pressuposto inicialmente assumido de que a solvência da dívida pública federal foi parcialmente alcançada e, portanto, que a política fiscal brasileira do período sob análise se mostrou “fracamente” sustentável. / Salvador

This present dissertation analyzes the performance of public accounts of Goiás during 2002/2011. There were two main problems treated: first, from the fact that the total tax revenue surpassed, in good measure, the significant economic growth in the region, it was investigated the causes for such performance. Additionally, was analyzed what kind of behavior occurred in the intertemporal Goiás revenue and expenditure relationship, so that such a relationship may or may not justify budgetary imbalances occurred during the period or that would compromise the ongoing fiscal adjustment. Such analysis allows to compare the results of Goiás with those obtained in other studies that, in general, fit the majority of Brazilian states as having performed fine adjustment, much as the volume of transfers from the Union that, properly, for their autonomous capacity to tax and collect. The results of Goiás indicated a relative strength of independent taxation, arising from the total revenue from its main tax (ICMS), but occurred much because of the tax effort reflected in the subgroups Debt and Fiscal Action, accompanied by an increasing transfers government volume and a greater proportion than 20% of total revenue in the period. Added to this set, the long cycle of the regional economy and positive force that provided the spontaneous collection of ICMS, however, the intensity lower than that cited in the subgroups. On the other hand, contributed to the fiscal results obtained for the answer the second research problem: the intertemporal relationship between revenues and expenditures for the state in the period indicated a strong tendency to fiscal synchronization, which allowed at least ease the fiscal situation worse when the state was in the recent past. / Este trabalho analisa o desempenho das contas públicas de Goiás no período 2002/2011. Foram dois os problemas principais tratados: primeiro, a partir da constatação de que a arrecadação total superou, em boa medida, o significativo crescimento econômico da região, investigaram-se as causas para tal desempenho. Adicionalmente, analisou-se que tipo de comportamento intertemporal ocorreu no relacionamento receitas e despesas goianas, de forma que tal relação possa, ou não, justificar desequilíbrios orçamentários ocorridos no período ou, ainda, que venha a comprometer o ajuste fiscal em curso. Tais análises permitiram confrontar os resultados do estado de Goiás com os obtidos em outros estudos que, de uma forma geral, enquadram a maioria dos estados brasileiros como tendo realizado tênue ajuste, muito mais em função do volume das transferências da União do que, propriamente, por sua capacidade autônoma de tributar e arrecadar. Os resultados de Goiás apontaram para uma relativa força de tributação autônoma advinda da arrecadação total de seu principal tributo (ICMS), mas que ocorreu muito em razão do esforço fiscal refletido nos subgrupos Dívida Ativa e Ação Fiscal, acompanhado de um volume de transferências governamentais crescentes e em proporção maior que 20% da arrecadação total em todo o período. Soma-se a este conjunto o ciclo longo e positivo da economia regional que proporcionou força na arrecadação espontânea de ICMS, porém em intensidade menor que a registrada nos subgrupos citados. Por outro lado, contribuiu para os resultados fiscais a resposta obtida para o segundo problema de pesquisa: a relação intertemporal entre receitas e despesas para o estado, no período, indicou forte tendência para sincronismo fiscal , o que permitiu, no mínimo, amenizar a situação fiscal bem pior em que o estado de Goiás se encontrava no passado recente. / Mestre em Economia

nÃo hà / Considerando o atendimento à restriÃÃo orÃamentÃria intertemporal do governo, analisa-se a solvÃncia da dÃvida pÃblica contratual no Estado do Cearà a partir da proposta de Bohn(1998). Nesse contexto, a dÃvida à considerada sustentÃvel se o governo demostrar uma preocupaÃÃo em reagir a aumentos da relaÃÃo dÃvida/PIB com incrementos nos superÃvits primÃrios. Para o exercÃcio empÃrico, sÃo realizados testes de cointegraÃÃo baseadas na funÃÃo de resposta fiscal do governo sobre os dados mensais do perÃodo de 2002 a 2011. Constatam-se indÃcios de que o governo nÃo tem reagido ao aumento no nÃvel de endividamento verificado no perÃodo, apesar da dÃvida apresentar um comportamento explosivo (nÃo-estacionÃrio), constatado por meio do teste de raiz unitÃria.

The financial crisis of 2007/8 has triggered a profound debate about public budget finance sustainability, ever-increasing government expenditures and the efficiency of fiscal policy measures. Given this context, the following dissertation provides four contributions that analyze the long-run growth of government spending throughout economic development, discuss potential effects of fiscal policy measures on output, and provide new insights into the assessment of debt sustainability for a variety of industrialized countries. Since the breakout of the European debt crisis in 2009/2010, there has been a revival of interest in the long-term growth of government expenditures. In this context, the relationship between the size of the public sector and economic growth - often referred to as Wagner's law - has been in the focus of numerous studies, especially with regard to public policy and fiscal sustainability. Using historical data from the mid-19th century, the first chapter analyzes the validity of Wagner's law for five industrialized European countries and links the discussion to different stages of economic development. In line with Wagner's hypothesis, our findings show that the relationship between public spending and economic growth has weakened at an advanced stage of development. Furthermore, all countries under review support the notion that Wagner's law may have lost its economic relevance in recent decades. As a consequence of the 2007/8 financial crisis, there has been an increasing theoretical and empirical debate about the impact of fiscal policy measures on output. Accordingly, the Structural Vector Autoregression (SVAR) approach to estimating the fiscal multipliers developed by Blanchard and Perotti (2002) has been applied widely in the literature in recent years. In the second chapter, we point out that the fiscal multipliers derived from this approach include the predicted future path of the policy instruments as well as their dynamic interaction. We analyze a data set from the US and document that these interactions are economically and statistically significant. In a counterfactual simulation, we report fiscal multipliers that abstract from these dynamic responses. Furthermore, we use our estimates to analyze the recent fiscal stimulus of the American Recovery and Reinvestment Act (ARRA). The third chapter contributes to the existing empirical literature on fiscal multipliers by applying a five-variable SVAR approach to a uniform data set for Belgium, France, Germany, and the United Kingdom. Besides studying the effects of expenditure and tax increases on output, we additionally analyze their dynamic effects on inflation and interest rates as well as the dynamic interaction of both policy instruments. By conducting counterfactual simulations, which abstract from the dynamic response of key macroeconomic variables to the initial fiscal shocks, we study the importance of these channels for the transmission of fiscal policy on output. Overall, the results demonstrate that the effects of fiscal shocks are limited and rather different across countries. Further, it is shown that the inflation and interest rate channel are insignificant for the transmission of fiscal policy. In the field of public finances, governmental budgetary policies are among the most controversial and disputed areas of political and scientific controversy. The sustainability of public debt is often analyzed by testing stationarity conditions of government's budget deficits. The fourth chapter shows that this test can be implemented more effectively by means of an asymmetric unit root test. We argue that this approach increases the power of the test and reduces the likelihood of drawing false inferences. We illustrate this in an application to 14 countries of the European Monetary Union as well as in a Monte Carlo simulation. Distinguishing between positive and negative changes in deficits, we find consistency with the intertemporal budget constraint for more countries, i.e. lower persistence of positive changes in some countries, compared to the earlier literature.