Análises sobre a sustentabilidade intertemporal da dívida pública nos países emergentes ganham cada vez mais importância no debate econômico internacional devido à sua importância na avaliação das políticas macroeconômicas desses países. Depois da reforma monetária de junho de 1994 que deu fim ao processo hiperinflacionário, a economia brasileira obteve como sub-produto a exposição de um grave desequilíbrio fiscal, em que a razão dívida/PIB passou a apresentar uma trajetória monotonicamente crescente, ultrapassando a marca de 50%, nível considerado extremante perigoso para um país emergente que se defronta com a intolerância da dívida. O presente estudo tem como objetivo estimar uma função de reação da política fiscal no Brasil para o período pós-Real, quantificando a relação entre o resultado primário do setor público consolidado, o comportamento da razão dívida/PIB, as instituições e a intolerância da dívida, bem como avaliar a ciclicidade da política fiscal no Brasil. Além disso, realiza-se um teste de raiz unitária com quebra endógena da razão dívida líquida/PIB descontada bem como testes de cointegração a fim de avaliar a hipótese de spend and tax da política fiscal brasileira no período em questão. Dentre as conclusões que foram extraídas deste estudo, destacam-se as evidências de que a política fiscal se comportou de maneira insustentável após a reforma de 1994, sendo marcado pela indisciplina fiscal, em que a receita foi a variável endógena do regime fiscal, caracterizado esse por um sistema spend and tax. / Analyses of the sustainability of public debt across time in emerging countries are increasingly gaining in importance in the international economic debate, due to their importance for the evaluation of the macroeconomic policies of these countries. Following the June 1994 monetary reform that did away with hyperinflation, a major fiscal imbalance came to light in the Brazilian economy as a sub-product, with the debt/GDP ratio following a monotonically rising path and exceeding the 50% level. This is considered extremely dangerous for an emerging nation that is faced with debt intolerance. The aim of this study is to estimate a reaction function regarding Brazils fiscal policy for the post-Real period, quantifying the relation between the consolidated public sectors primary results, the behavior of the debt/GDP ratio, institutions and debt intolerance, as well as evaluating the cyclical aspects of fiscal policies in Brazil. Additionally, a unit root test was carried out, with endogenous breakdown of the discounted net debt/GDP ratio, as well as co-integration tests, in order to evaluate the spend and tax hypothesis of Brazilian fiscal policy during the period in question. One of the prominent conclusions of this study is that the fiscal policy behaved in a unsustainable manner after the 1994 reform, and underscored by fiscal indiscipline, with revenue being the endogenous variable of the fiscal regime, characterized by a spend and tax system.

Análises sobre a sustentabilidade intertemporal da dívida pública nos países emergentes ganham cada vez mais importância no debate econômico internacional devido à sua importância na avaliação das políticas macroeconômicas desses países. Depois da reforma monetária de junho de 1994 que deu fim ao processo hiperinflacionário, a economia brasileira obteve como sub-produto a exposição de um grave desequilíbrio fiscal, em que a razão dívida/PIB passou a apresentar uma trajetória monotonicamente crescente, ultrapassando a marca de 50%, nível considerado extremante perigoso para um país emergente que se defronta com a intolerância da dívida. O presente estudo tem como objetivo estimar uma função de reação da política fiscal no Brasil para o período pós-Real, quantificando a relação entre o resultado primário do setor público consolidado, o comportamento da razão dívida/PIB, as instituições e a intolerância da dívida, bem como avaliar a ciclicidade da política fiscal no Brasil. Além disso, realiza-se um teste de raiz unitária com quebra endógena da razão dívida líquida/PIB descontada bem como testes de cointegração a fim de avaliar a hipótese de spend and tax da política fiscal brasileira no período em questão. Dentre as conclusões que foram extraídas deste estudo, destacam-se as evidências de que a política fiscal se comportou de maneira insustentável após a reforma de 1994, sendo marcado pela indisciplina fiscal, em que a receita foi a variável endógena do regime fiscal, caracterizado esse por um sistema spend and tax. / Analyses of the sustainability of public debt across time in emerging countries are increasingly gaining in importance in the international economic debate, due to their importance for the evaluation of the macroeconomic policies of these countries. Following the June 1994 monetary reform that did away with hyperinflation, a major fiscal imbalance came to light in the Brazilian economy as a sub-product, with the debt/GDP ratio following a monotonically rising path and exceeding the 50% level. This is considered extremely dangerous for an emerging nation that is faced with debt intolerance. The aim of this study is to estimate a reaction function regarding Brazils fiscal policy for the post-Real period, quantifying the relation between the consolidated public sectors primary results, the behavior of the debt/GDP ratio, institutions and debt intolerance, as well as evaluating the cyclical aspects of fiscal policies in Brazil. Additionally, a unit root test was carried out, with endogenous breakdown of the discounted net debt/GDP ratio, as well as co-integration tests, in order to evaluate the spend and tax hypothesis of Brazilian fiscal policy during the period in question. One of the prominent conclusions of this study is that the fiscal policy behaved in a unsustainable manner after the 1994 reform, and underscored by fiscal indiscipline, with revenue being the endogenous variable of the fiscal regime, characterized by a spend and tax system.

In this thesis I examine the Riksbank’s monetary policy for five periods from 1995-2023 to see if the Riksbank follows the Taylor rule. I do so by conducting a diagram of the actual policy rate and the suggested policy rate from the Taylor rule. I also conduct reaction functions using the inflation gap and the output gap and the dynamic Taylor rule’s reaction function. The results gives that the reaction function based on Taylors original rule gave positive and overall statistically significant outcomes for the first periods, while the last two periods had negative and statistically insignificant outcome. The dynamic Taylor rule gave no significant results and evidence for interest smoothing cannot really be concluded. The graphical interpretation shows a similar result as the reaction function. The conclusion is that the Riksbank can be said to have followed the Taylor rule for the first two periods (1995-2005 and 2005-2010), but not for the last three periods (2010-2015, 2015-2020 and 2020-2023).

In this dissertation three different economic issues have been analyzed. The first issue is whether monetary policy rules can improve forecasting accuracy of inflation. The second is whether the preference of a central bank is symmetry or not. The last issue is whether the behavior of aggregate dividends is asymmetry. Each issue is considered in Chapter II, III and IV, respectively. The linkage between monetary policy rules and the prediction of inflation is explored in Chapter II. Our analysis finds that the prediction performance of the term structure model hinges on monetary policy rules, which involve the manipulation of the federal funds rate in response to the change in the price level. As the Fed's reaction to inflation becomes stronger, the predictive information contained in the term structure becomes weaker. Using the long-run Taylor rule, a new assessment of the prediction performance regarding future change in inflation is provided. The empirical results indicate that the long-run Taylor rule improves forecasting accuracy. In chapter III, the asymmetric preferences of the central bank of Korea are examined under New Keynesian sticky prices forward-looking economy framework. To this end, this chapter adopts the central bank's objective functional form as a linear-exponential function instead of the standard quadratic function. The monetary policy reaction function is derived and then asymmetric preference parameters are estimated during the inflation targeting period: 1998:9-2005:12. The empirical evidence supports that while the objective of output stability is symmetry, but the objective of price stability is not symmetry. Specifically, it appears that the central bank of Korea aggressively responds to positive inflation gaps compared to negative inflation gaps. Chapter IV examines the nonlinear dividend behavior of the aggregate stock market. We propose a nonlinear dividend model that assumes managers minimize the regime dependent adjustment costs associated with being away from their target dividend payout. By using the threshold vector error correction model, we find significant evidence of a threshold effect in aggregate dividends of S&P 500 Index in quarterly data when real stock prices are used for the target. We also find that when dividends are relatively higher than target, the adjustment cost of dividends is much smaller than that when they are lower.

A maioria dos estudos aponta que a dÃvida pÃblica brasileira à solvente. Entretanto, a anÃlise dessa questÃo a nÃvel municipal ainda deixa muito a desejar. Os mÃtodos mais recentes para testar essa problemÃtica envolvem a estimaÃÃo da funÃÃo de reaÃÃo fiscal dos governos. Mas como serà que os municÃpios cearenses tÃm se comportado em relaÃÃo à dÃvida pÃblica e ao superÃvit primÃrio? Esse estudo utiliza dados em Painel para estimar a funÃÃo de resposta fiscal para trÃs grupos de dados constituÃdos por municÃpios do Cearà no perÃodo de 2002 a 2008, sendo que o primeiro grupo compreende uma amostra composta de 147 municÃpios sem a diferenciaÃÃo entre os municÃpios mais ricos e mais pobres. Jà o segundo à composto pelos 37 municÃpios mais ricos e o terceiro e o Ãltimo à composto pelos 37 municÃpios mais pobres do Estado. Essa funÃÃo de reaÃÃo serà estimada por trÃs mÃtodos diferentes: MÃnimos Quadrados OrdinÃrios Agrupados (MQOA), modelo de Efeito Fixo (EF) e modelo de Efeito AleatÃrio (EA). Percebeu-se que em todos os modelos estimados a condiÃÃo de solvÃncia da dÃvida pÃblica à satisfeita. / A lot of studies indicate that the Brazilian public debt is solvent. However, the analysis of this issue at the municipal level still leaves much to be desired. The latest methods to test this problem involve the estimation of fiscal reaction function of government. But how can the state of Cearà have behaved in relation to public debt and primary surplus? This study uses panel data to estimate the fiscal response function for three groups of data consisting of municipalities of Cearà in the period 2002 to 2008, with the first group comprises a composite sample of 147 municipalities with no differentiation between the wealthier and poorer. The second is composed of 37 municipalities and the richest third and final group analyzed a sample consisting of the 37 poorest municipalities of the state. This reaction function is estimated by three different methods: OLS Pooled (OLSP), fixed effect model (FE) and random effect model (RE). It was noticed that in all models estimated the condition of solvency of public debt is satisfied.

[pt] No início de 1995, dando continuidade ao processo de combate inflacionário, o regime cambial brasileiro passou a ser um Crawling Peg. Assim, a política monetária deveria ser fixada de forma passiva, e caberia a política fiscal o controle da demanda doméstica e, por conseguinte, a manutenção da estabilidade do nível de preços. Entretanto, Salgado, Garcia e Medeiros (2005) encontram fortes evidências de que a política monetária foi orientada para o controle da inflação compensando a política fiscal frouxa praticada pelo governo, aplicando um modelo TAR (Threshold Autoregressive Model). A especificação proposta pelos autores consiste na estimação de modelos lineares distintos dependendo do estado da economia (em crise ou fora de crise). Períodos de crise são determinados por uma variável observada (variação acumulada de reservas). Neste trabalho, utilizamos um modelo com chaveamento Markoviano para dinâmica da taxa de juros nominal onde a determinação de períodos de crise é feita por uma variável não-observada. Além disso, procuramos resolver possíveis problemas de endogeneidade. Finalmente, motivamos a estimação através de modelos econômicos teóricos cujas dinâmicas são compatíveis com uma regra de fixação de juros não-linear. Os resultados encontrados no trabalho foram bastante satisfatórios. / [en] In the beginning of 1995, continuing the process of inflation combat, the exchange rate regime adopted was a Crawling Peg. Thus, the monetary policy should have been passive and the fiscal policy would have been directed to control the aggregate demand, affecting the price level stability. However, Salgado, Garcia e Medeiros (2005) find strong evidences in Brazilian data that the monetary policy was used to control inflation, compensating the loose fiscal policy implemented by the Central Government, using a TAR Model (Threshold Autoregressive Model). The specification proposed by the authors consists in an estimation of two independent linear models for different states of the nature (crises or not crises). An observable variable (the accumulated changes in the International Reserve) determines the crises periods. Here we estimate a model where the dynamic of the nominal interest rate follows a Markov Switching process and the regimes are unobservable variables. Furthermore, we try to handle the possible problem of endogenity. Finally, we motivate the estimations analyzing models where the theoretical dynamics of the economy are compatible with a nonlinear interest rate rule. Our results are quiet satisfactory.

[pt] Esta dissertação visa estudar a função de reação do Banco Central do Brasil durante o Plano Real. Argumenta-se que a taxa de juros nominal foi o instrumento mais importante de política monetária, sendo ajustado como resposta a variações na taxa de inflação, hiato do produto, reservas internacionais e ao seu próprio defasado. Estima-se então um modelo linear para a taxa de juros nominal. Em seguida, um Modelo como Limiar (modelo TAR) é usado para explicar uma mudança de regime na taxa de juros. Usando um indicador de crises cambiais, que é escolhido endogenamente, o modelo tenta explicar a diferença na dinâmica da taxa de juros durante e fora das crises. O modelo linear e o não-linear são então comparados e conclui-se que a última abordagem é a mais adequada para estudar a função de reação do Banco Central do Brasil. / [en] This dissertation studies the Central Bank of Brazil`s reaction function during the Real Plan. It is argued that the nominal interest rate was the most important monetary policy instrument, being adjusted to changes in the rate of inflation, output gap, international reserves and its own lagged value. First, a linear model is estimated for the nominal interest rate. Second, a Threshold Autoregressive model with exogenous variables is used to explain a change in regime in interest rates. By using an indicator of currency crises, which is chosen endogenously, the model tries to explain the difference in dynamic of nominal interest rates during and out of a currency crises. The paper then compares the linear and non-linear models and shows that the latter performs considerably better than the former.

This dissertation comprises three essays that examine critical aspects of fiscal policy and explores important determinants of tax compliance in a developing country context. The first essay examines the fiscal response to changes in debt-to-GDP for a panel of developing countries. Our empirical strategy adopts a dynamic difference generalized methods of moments (DGMM) model with forward orthogonal deviation. We find a positive and significant response for the primary balance and ‘fiscal effort’ to changes in debt-to-GDP. For the fiscal components, we find a positive relationship between debt-to-GDP and general and tax revenues, and a negative relationship with primary spending. We also find evidence of nonlinearities, with countries making larger increases in the primary balance and fiscal effort at higher levels of debt, largely driven by increases in revenues. Higher income countries demonstrate a greater propensity to adjust along the revenue margins, compared to lower income countries. This might be indicative of systemic revenue mobilization challenges facing the latter. The second essay examines the effect of the provision of taxpayer services on filing and payment of the corporate income tax (CIT) and general consumption tax (GCT) for large taxpayers in Jamaica. We use a regression discontinuity design (RDD) that exploits an exogenous jump in the intensity of taxpayer service delivery, which occurs when a taxpayer reaches gross receipts of J$500 million (US$5.7 million) and is selected into the large taxpayer office (LTO). The results indicate null effects for the CIT but positive filing and payment compliance effects for the GCT. The contrasting results for the CIT and GCT may be due to the relatively weaker legal enforcement framework of the former. The results provide suggestive evidence of a complementarity between the strength of the legal enforcement framework of the taxing regime and the provision of taxpayer services. In the third essay we implement public goods messaging experiments to examine the effects on personal income tax (PIT) compliance among self-employed individuals in Jamaica. In the first sub-experiment we examine the effect of the standard public goods message on payment of quarterly PIT obligations. In the second sub-experiment we focus on payment of PIT arrears and expand the message context to include a variant of the standard public goods message – which provides additional information on actual spending on key public goods and services. The compliance outcomes in sub-experiment two relate to established PIT delinquencies, compared to sub-experiment one where there is no legal obligation to comply. We find that the standard public goods message had no effect on compliance with quarterly PIT payments in sub-experiment one. However results from sub-experiment two indicate positive compliance effects from the standard and augmented public goods messages on the probability of making a payment and the amount of PIT arrears paid after nineteen weeks. Point estimates from the standard and augmented public goods messages are not statistically different for any of the outcomes examined; suggesting that additional information on public spending allocations does not matter.

The thesis provides a comparative estimation of the electoral cycles' influence on the monetary policies among a group of developed and developing countries. We use a non-linear central bank's reaction function which captures the regime switching behavior of the monetary authority depending on the proximity of elections. Moreover, we compare the reaction function with partial adjustment, which controls for policy inertia, with a non-inertial policy rule with serially correlated errors which takes into account other shocks determining the central bank to deviate from its policy rule. The estimation was performed via OLS, 2SLS and 3SLS, the preference being given to the last one due to correction of endogeneity problem and efficiency gains. Robust evidence about election induced monetary policies was found in 2 out of 10 developed economies and 4 out of 10 developing economies. In these countries, the central banks tend to be less inflation averse and/or less counter-cyclical (or even pro- cyclical) during electoral periods in comparison with normal times. Additionally, we find that the legislative framework, in these countries, incorporates significant deviations from the best practices of central bank independence. Finally, following the dynamic inconsistency problem, we document a strong...

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.