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Choques fiscais e instabilidade financeira no Brasil: uma abordagem TVAR

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  • Gian Paulo Soave

Abstract

Este artigo investiga os efeitos não lineares da política fiscal no Brasil sob dois diferentes regimes de condições financeiras. Emprega-se um modelo vetorial autorregressivo com limiar (Threshold Vector Autoregression-TVAR) utilizando uma variável estimada indicadora das condições de liquidez para a economia brasileira. Tal variável é estimada utilizando filtro de Kalman e métodos de ponderação dinâmica de modelos, e cobre vários aspectos financeiros. Os resultados mostram que as respostas não lineares são estado-dependentes, sendo os multiplicadores maiores e os choques mais persistentes em regime sob liquidez restrita.

Suggested Citation

  • Gian Paulo Soave, 2015. "Choques fiscais e instabilidade financeira no Brasil: uma abordagem TVAR," Working Papers, Department of Economics 2015_02, University of São Paulo (FEA-USP).
    • Handle: RePEc:spa:wpaper:2015wpecon2
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    More about this item

    Keywords

    Política Fiscal; VAR com Limiar (TVAR); Fricções Financeiras; Acelerador Financeiro;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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