ENDIVIDAMENTO PÚBLICO E IMPACTOS SOBRE FLUXOS DE CAPITAIS, RISCO-PAÍS E DIFERENCIAL DE JUROS NO BRASIL (1995-2002): MODELO VAR E TESTES DE CAUSALIDADE
The paper estimates a vector autoregressive (VAR) model for the Brazilian economy during the period of Jan-1995 to Oct-2002, including country-risk, interest rate differential, public indebtedness (domestic and external), and capital flows (FDI and Portfolio). The empirical results suggest that coun...
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2009 |
| País: | Brasil |
| Institución: | Universidade Federal do Rio Grande do Sul (UFRGS) |
| Repositorio: | Análise Econômica (Online) |
| Idioma: | portugués |
| OAI Identifier: | oai:seer.ufrgs.br:article/10799 |
| Acceso en línea: | https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/10799 |
| Access Level: | acceso abierto |
| Palabra clave: | Capital flows. Country-risk. Interest rate differential. Public indebtedness. Vector autoregressive models (VAR). JEL Classification F41 C22 H63 Fluxos de Capitais. Risco-Brasil. Diferencial de Juros. Endividamento Público. Modelos VAR. |
| Sumario: | The paper estimates a vector autoregressive (VAR) model for the Brazilian economy during the period of Jan-1995 to Oct-2002, including country-risk, interest rate differential, public indebtedness (domestic and external), and capital flows (FDI and Portfolio). The empirical results suggest that country-risk and interest rate differential can explain around 30% of the public debt variance, even though the public indebtedness is not relevant to understand changes all the other three variables of the model (country-risk, interest rate differential and capital flows). Similarly, the impulse-response analysis reveals that shocks in the variable public debt do not have long lasting and significant effects in any of the other variables. Finally the causality tests suggest the existence of a Granger causality from country-risk to public indebtedness, but not the other way round. Other than this, there is no evidence of causality in both directions for changes indebtedness and capital flows. |
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