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.

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.