The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy
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 2...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2014-05-01
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| Series: | EconomiA |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1517758014000150 |
| _version_ | 1818500903648362496 |
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| author | Cleomar Gomes da Silva Manoel Carlos de Castro Pires Fábio Henrique Bittes Terra |
| author_facet | Cleomar Gomes da Silva Manoel Carlos de Castro Pires Fábio Henrique Bittes Terra |
| author_sort | Cleomar Gomes da Silva |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-10T20:48:57Z |
| format | Article |
| id | doaj.art-22b1210942a94388be80f2547ac865b8 |
| institution | Directory Open Access Journal |
| issn | 1517-7580 |
| language | English |
| last_indexed | 2024-12-10T20:48:57Z |
| publishDate | 2014-05-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | EconomiA |
| spelling | doaj.art-22b1210942a94388be80f2547ac865b82022-12-22T01:34:09ZengEmerald PublishingEconomiA1517-75802014-05-0115217418810.1016/j.econ.2014.06.002The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economyCleomar Gomes da Silva0Manoel Carlos de Castro Pires1Fábio Henrique Bittes Terra2Institute of Economics-Federal University of Uberlândia (IE-UFU), BrazilIPEA and Ministry of Finance, BrazilInstitute of Economics-Federal University of Uberlândia (IE-UFU), BrazilThe 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.http://www.sciencedirect.com/science/article/pii/S1517758014000150Public debt managementFiscal and monetary policiesKalman Filter |
| spellingShingle | Cleomar Gomes da Silva Manoel Carlos de Castro Pires Fábio Henrique Bittes Terra The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy EconomiA Public debt management Fiscal and monetary policies Kalman Filter |
| title | The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy |
| title_full | The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy |
| title_fullStr | The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy |
| title_full_unstemmed | The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy |
| title_short | The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy |
| title_sort | effects of public debt management on macroeconomic equilibrium an analysis of the brazilian economy |
| topic | Public debt management Fiscal and monetary policies Kalman Filter |
| url | http://www.sciencedirect.com/science/article/pii/S1517758014000150 |
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