The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy

Artikel

The aim of this paper is to study the effects of public debt management on yield curve spreads in Brazil, in order to see possible impacts on the country's economic activity. State space models, together with Kalman Filter estimators, are used for the period ranging from June 2002 to February 2012. The results indicate that increases in the issuance of fixed rate linked bonds lead to increases on yield spreads and the longer the maturity, the longer the effect. The opposite occurs when there is an increased issuance of floating rate linked bonds. Therefore, a change in the structure of the Brazilian public debt is not neutral on the yield curve, with possible impacts on the country's macroeconomic balance.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: EconomiA ; ISSN: 1517-7580 ; Volume: 15 ; Year: 2014 ; Issue: 2 ; Pages: 174-188 ; Amsterdam: Elsevier

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Interest Rates: Determination, Term Structure, and Effects ; Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
• Thema: Public debt management ; Fiscal and monetary policies ; Kalman Filter

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gomes da Silva, Cleomar ; de Castro Pires, Manoel Carlos ; Bittes Terra, Fábio Henrique
• Ereignis: Veröffentlichung
• (wer): Elsevier
• (wo): Amsterdam
• (wann): 2014

Weitere Informationen

• DOI: doi:10.1016/j.econ.2014.06.002
• Handle: http://hdl.handle.net/10419/179571
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ