Evidências empíricas do efeito da comunicação fiscal sobre as incertezas em relação à taxa de juros: uma análise para o Brasil/ Empirical evidence of the effect of fiscal communication on interest rate uncertainties: an analysis for Brazil

Paulo Henrique Lourenço Luna, Marcos Anisio Barbosa

Resumo


Neste artigo, verificamos se o aumento dos comunicados fiscais é capaz de reduzir as incertezas (medidas pelo desacordo de expectativas) em relação ao comportamento futuro da taxa de juros brasileira. O Brasil é um interessante estudo de caso, uma vez que a coordenação entre a política fiscal e monetária é necessária para países com metas de inflação, como é o caso brasileiro. De modo a alcançar o objetivo do estudo, a análise compreende o período de fevereiro de 2003 a junho de 2017, e se baseia em estimativas feitas por mínimos quadrados ordinários (OLS), pelo método generalizado de momentos (GMM) e pelo método generalizado de momentos em dois estágios (GMM-2). Os resultados encontrados indicam que o aumento da comunicação fiscal provoca uma redução nas incertezas em relação ao futuro da taxa de juros brasileira

Palavras-chave


comunicação fiscal, taxa de juros, desacordo de expectativas, incertezas.

Texto completo:

PDF

Referências


Allard, J., Catenaro, M., Vidal, J.P., Wolswijk, G. (2013). Central bank communication on fiscal policy. European Journal of Political Economy, 30(C), 1-14.

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.

Cragg, J.G. (1983). More efficient estimation in the presence of heteroscedasticity of unknown form. Econometrica, 51 (3), 751-763.

de Mendonça, H.F. (2007). Towards credibility from inflation targeting: the Brazilian experience. Applied Economics, 39, 2599-2615.

de Mendonça, H.F., Nicolay, R.T.F. (2017). Is communication clarity from fiscal authority useful? Evidence from an emerging economy. Journal of Policy Modeling, 39(1), 35–51.

Dovern, J., Fritsche, U., Slacalek, J. (2012). Disagreement among forecasters in G7 Countries. The Review of Economics and Statistics, 94(4), 1081-1096.

Durbin, J. (1954). Errors in variables. Int. Stat. Inst., 22, 23–32.

Ehling, P., Gallmeyer, M., Heyerdahl-Larsen, C., Illeditsch. P. (2018). Disagreement about inflation and the yield curve, Journal of Financial Economics, 128 (3), 459-484.

Ehrmann, M., Eijffinger, S., Fratzscher, M. (2012). The role of central bank transparency for guiding private sector forecasts. The Scandinavian Journal of Economics, 114(3), 1018-1052.

Engle, R. F. (1982). Autorregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.

Hall, A. R. (2015). Econometricians have their moments: GMM at 32. Economic Record, 91 (S1), 1-24.

Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029–1054.

Hausman, J.A. (1978). Specification Tests in Econometrics. Econometrica, 46, 1251–1271.

Hendry, D.F. (2001). Achievements and challenges in econometric methodology. Journal of Econometrics, 100 (1), 7-10.

Jansen, D. (2011a). Does the clarity of central bank communication affect volatility in financial markets? Evidence from Humphrey-Hawkins testimonies. Contemporary Economic Policy, 29, 494-509.

Jansen, D. (2011b). Mumbling with great incoherence: Was it really so difficult to understand Allan Greenspan? Economic Letters, 113, 70-72.

Johnston, J. (1984). Econometric Methods. 3rd ed., Singapore: McGraw-Hill Book Co.

Lucas, R.E. (1972). Expectations and the neutrality of money. Journal of Economic Theory, 4(2), 103-124.

Luna, P.H.L. (2020). O impacto do gasto discricionário do governo sobre o desacordo de expectativas para a taxa de câmbio: evidências empíricas para uma economia em desenvolvimento. Brazilian Journal of Development, 6 (4), 22531-22548.

Luna, P. H. L., Montes, G. C. (2020). Effects of Fiscal Credibility and Disagreements about Fiscal Variables Expectations on Disagreement about Exchange Rate Expectations. The empirical economics letters, 19 (3), 227-236.

Mankiw, N. G., Reis, R., Wolfers, J. (2003). Disagreement about inflation expectations. NBER macroeconomics annual, 18, 209-248.

Missale, A., Giavazzi, F., Benigno, P. (2002). How is debt managed? Learning from fiscal stabilization. Scandinavian Journal of Economics, 104(3), 443–469.

Montes, G. C., Ferreira, C. F. (2018). Does monetary policy credibility mitigate the effects of uncertainty about exchange rate on uncertainties about both inflation and interest rate? International Economics and Economic Policy. https://doi.org/10.1007/s10368-018-0419-5

Montes, G. C., Luna, P. H. (2018). Discretionary fiscal policy and disagreement in expectations about fiscal variables: empirical evidence from Brazil. Economic Modelling, 73, 100-116.

Montes, G. C., Nicolay, R. T. F., Acar, T. (2019). Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil. Journal of Economics and Business, 103, 38-60.

Montes, G. C., Oliveira, L. V., Curi, A., Nicolay, R. T. F. (2016). Effects of transparency, monetary policy signalling and clarity of central bank communication on disagreement about inflation expectations. Applied Economics, 48 (7), 590-607.

Montes, G.C., Nicolay, R.T.F. (2017). Does clarity of central bank communication affect credibility? Evidences considering governor specific effects. Applied Economics, 49(32), 3163-3180.

Muth, J.F. (1961). Rational Expectations and the Theory of Price. Econometrica, 29 (3), 315-335.

Newey, W. K., West, K. (1987). A Simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55 (3), 703–708.

Oliveira, L. V., Curi, A. (2016). Disagreement in expectations and the credibility of monetary authorities in the Brazilian inflation-targeting regime. EconomiA, 17 (1), 56-76.

Patton, A.J., Timmermann, A. (2010). Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion. Journal of Monetary Economics, 57(7), 803-820.

Rosa, C., G. Verga. (2007). On the consistency and effectiveness of central bank communication: Evidence from the ECB. European Journal of Political Economy, 23, 146–175.

Walters, A. A, (1971). Consistent Expectations, Distributed Lags and the Quantity Theory, The Economic Journal, vol. 81(322), 273-281.

Windmeijer, F. (2005). A finite sample correction for the variance of linear efficient two-step GMM estimators. Journal of econometrics, 126 (1), 25-51.

Wooldridge, J. M. (2001). Applications of generalized method of moments estimation. The Journal of Economic Perspectives, 15 (4), 87-100.

Wu, D.M. (1973). Alternative tests of independence between stochastic regressors and disturbances. Econometrica, 41 (4), 733–750.




DOI: https://doi.org/10.34115/basrv4n4-033

Apontamentos

  • Não há apontamentos.