The present study measured the effectiveness of Brazilian fiscal policy (the effects of fiscal shocks on output) through several specifications of SVAR models. The focus was on the impact of tax shocks on output, but spending shocks effects were also estimated. Two databases for fiscal variables were used: the official data from National Treasury and a set of alternative data by Gobetti and Orair [1] . The tax multiplier depends on the assumption about the sensitivity of government’s revenue to output: the greater the sensitivity, the greater is the tax multiplier. The preferred estimates of tax multipliers in this paper are higher than other estimates in the Brazilian literature. In most identifications both spending and tax (impact) multipliers are below unit.
KeywordsFiscal PolicySVARFiscal MultipliersBrazil
Gobetti, S.W. and Orair, R.O. (2017) Resultado primário e contabilidade criativa: Reconstruindo as estatísticas fiscais “acima da linha” do governo central. Texto para discussao Ipea, n. 2288.
Ilzetzki, E., Mendoza, E.G. and Végh, C.A. (2013) How Big (Small?) Are Fiscal Multipliers? Journal of Monetary Economics, 60, 239-254. https://doi.org/10.1016/j.jmoneco.2012.10.011
Favero, C. and Giavazzi, F. (2007) Debt and the Effects of Fiscal Policy. NBER Working Paper No. 12822. https://doi.org/10.3386/w12822
Auerbach, A.J. and Gorodnichenko, Y. (2012) Measuring the Output Responses to Fiscal Policy. American Economic Journal: Economic Policy, 4, 1-27. https://doi.org/10.1257/pol.4.2.1
Blanchard, O. and Leigh, D. (2013) Growth Forecast Errors and Fiscal Multipliers. American Economic Review: Papers & Proceedings, 103, 117-120. https://doi.org/10.1257/aer.103.3.117
Riera-Crichton, D., Vegh, C.A. and Vuletin, G. (2014) Procyclical and Countercyclical Fiscal Multipliers: Evidence from OECD Countries. NBER Working Paper No. 20533. https://doi.org/10.3386/w20533
Cavalcanti, A.F.H. (2009) Política fiscal e nível de atividade: Breve resenha da literatura empírica para o Brasil. Economia & Tecnologia, 19, 15-24. https://doi.org/10.5380/ret.v5i4.27099
Cavalcanti, A.F.H. and Silva, N.L.C. (2010) Dívida pública, política fiscal e nível de atividade: Uma abordagem VAR para o Brasil no período 1995-2008. Economia Aplicada, 14, 391-418.
Mendonca, M.J., Medrano, L.A. and Sachsida, A. (2009) Avaliando efeitos da política fiscal no Brasil: Resultados de um procedimento de identificacao agnóstica. Texto para discussao Ipea, n. 1377.
Pires, M.C.C. (2012) Controvérsias recentes sobre multiplicadores fiscais no Brasil. V Encontro Internaiconal da AKB.
Oreng, M. (2012) Estimando o impacto da política fiscal no Brasil: 2004 a 2011. FGV Working Paper No. 433.
Peres, M.A.F. and Ellery Jr., R. (2009) Efeitos dinamicos dos choques fiscais do governo central no PIB do Brasil. Pesquisa e Planejamento Economico, 39, 159-206.
Blanchard, O. and Perotti, R. (2002) An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output. The Quarterly Journal of Economics, 117, 1329-1368. https://doi.org/10.1162/003355302320935043
Pires, M.C.C. (2014) Política fiscal e ciclos economicos no Brasil. Economia Aplicada, 18, 69-90. https://doi.org/10.1590/1413-8050/ea350
Matheson, T. and Pereira, J. (2016) Fiscal Multipliers for Brazil. IMF Working Paper. https://doi.org/10.5089/9781484307892.001
Castelo-Branco, M.A., Lima, E.C.R. and Paula, L.F. (2017) Mudancas de regime e multiplicadores fiscais no Brasil em 1999-2012: Uma avaliacao empírica com o uso da metodologia MS-SBVAR. Pesquisa e Planejamento Economico, 47, 7-62.
Mendonca, D.P., Marcal, E. and Holland, M. (2016) Is Fiscal Policy Effective in Brazil? An Empirical Analysis. FGV Working Paper No. 433.
Enders, W. (2015) Applied Econometric Time Series. 4th Edition, Wiley & Sons, New York.
Lütkepohl, H. and Kratzig, M. (2004) Applied Time Series Econometrics. Cambridge University Press, Cambridge. https://doi.org/10.1017/CBO9780511606885
Lütkepohl, H. (2006) New Introduction to Multiple Time Series Econometrics. Springer, Berlin. https://doi.org/10.1007/978-3-540-27752-1
Peres, M.A.F. (2006) Efeitos dinamicos da política fiscal sobre o nível de atividade economica: Um estudo para o caso brasileiro. Dissertacao (mestrado em economia), Departamento de Economia, Universidade de Brasília, Brasília.
Ilzetzki, E. (2011) Fiscal Policy and Debt Dynamics in Developing Countries. World Bank Working Paper No. 5666. https://doi.org/10.1596/1813-9450-5666
Perotti, R. (2004) Estimating the Effects of Fiscal Policy in OECD Countries. IGIER Working Paper. https://doi.org/10.2139/ssrn.637189
Santos, C.H.M., Silva, A.C.M. and Ribeiro, M.B. (2010) Uma metodologia de estimacao da carga tributária líquida brasileira trimestral no período 1995-2009. Revista de Economia Contemporanea, 14, 209-236. https://doi.org/10.1590/S1415-98482010000200001
Santos, C.H.M., Orair, R.O., Gobetti, S.W., Ferreira, A.S., Rocha, W.S., Da Silva, H.L. and Britto, J.M. (2012) Estimativas mensais da formacao bruta de capital fixo no Brasil (2002-2010). Economia Aplicada, 16, 445-473. https://doi.org/10.1590/S1413-80502012000300005
Grudtner, V. and Aragon, E.B. (2017) Multiplicador dos gastos do governo em períodos de expansao e recessao: Evidencias empíricas para o Brasil. Revista Brasileira de Economia, 71, 321-345. https://doi.org/10.5935/0034-7140.20170015
Zivot, E. and Andrews, D.W.K. (1992) Further Evidence on the Great Crash, the Oil-Price Shock and the Unit-Root Hyphotesis. Journal of Business & Economic Statistics, 10, 251-270. https://doi.org/10.1080/07350015.1992.10509904
Ramey, V.A. and Shapiro, M.D. (1998) Costly Capital Reallocation and the Effects of Government Spending. Carnegie-Rochester Conference Series on Public Policy, 48, 145-194. https://doi.org/10.1016/S0167-2231(98)00020-7
Mountford, A. and Uhlig, H. (2008) What Are the Effects of Fiscal Policy Shocks? Journal of Applied Econometrics, 24, 960-992. https://doi.org/10.1002/jae.1079
Caldara, D. and Kamps, C. (2008) What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis. ECB Working Paper Series No. 877.
Orair, R.O., Gobetti, S.W., Leal, E.M. and Silva, W.J. (2013) Carga tributária brasileira: Estimacao e análise dos determinantes da evolucao recente. Texto de discussao do Ipea, n. 1875.
Ribeiro, M.B. (2010) Uma análise da carga tributária bruta e das transferencias de assistencia e previdencia no Brasil, no período 1996-2009: Evolucao, composicao e suas relacoes com a regressividade e a distribuicao de renda. Texto de discussao do Ipea, n. 1464.