Please use this identifier to cite or link to this item:
Type: Artigo
Title: Fiscal Costs Of Monetary Policy: Indirect Effects Of An Interest Rate Shock On Brazilian Public Net Debt
Title Alternative: Custos Fiscais Da Política Monetária: Os Efeitos Indiretos De Um Choque De Juros Sobre A Dívida Líquida Do Setor Público
Author: Carvalho
Laura; Diniz
André; Pedrosa
Ítalo; Rossi
Abstract: The paper estimates the fiscal cost of an increase in the Brazilian policy interest rate - the SELIC - by considering not only the direct effect on the yield of public bonds that are indexed to the SELIC, but also indirect effects on: (i) the yield of public bonds that are indexed to the exchange rate and inflation, and (ii) the stock of public net debt through adjustments in the value of international reserves measured in domestic currency. Projections are based on the estimation of the relationship between interest rates, exchange rates and inflation by means of a vector auto-regression. We conclude that the inclusion of such indirect effects has an ambiguous effect on the response of the implicit interest rate on public net debt to shocks in the SELIC, when adjustments in the value of international reserves are not considered. However, the inclusion of the latter amplifies the fiscal cost of a more restrictive monetary policy. These results call for a better coordination between monetary, fiscal and exchange rate policies in Brazil.
Subject: Brazilian Public Debt Structure
Monetary Policy
Interest Rate-exchange Rate Nexus
International Reserves
Debt Sustainability
Estrutura Da Dívida Pública Brasileira
Política Monetária
Nexo Juros-câmbio
Reservas Internacionais
Sustentabilidade Da Dívida
Editor: Editora 34
Citation: Revista De Economia Política. Editora 34, v. 36, n. 3, p. 557 - 579
Rights: aberto
Date Issue: 2016
Appears in Collections:Unicamp - Artigos e Outros Documentos

Files in This Item:
File SizeFormat 
S0101-31572016000300557.pdf2.56 MBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.