بدهی های عمومی در برزیل: پایداری و پیامدهای آن

This paper tests sustainability of Brazilian public debt in the period 1991 to 2009, and analyzes implications of requiring that the Brazilian fiscal policy be primarily committed to the sustainability of the public debt. The retrospective analysis utilizes a set of unit root tests and avoids some of the criticism leveled at previous studies by using data which has not previously been used for this purpose, and concludes that the public debt was sustainable in the period we consider. The prospective analysis is based on the DSGE model proposed by Jodi Galí et al. (2007) calibrated for Brazil, using the conclusions of the retrospective analysis for the fiscal parameters. The scenarios produced with the help of the model show that maintaining the sustainability of the public debt is consistent with the monetary policy of inflation targeting. We also conclude that it is possible to reduce interest rates to levels below those prevalent at the end of 2010 simultaneously maintaining the stability of the trajectory of the public debt.

Governments around the world have engaged in active fiscal policies characterized by a significant increase of the public deficit, in response to the effects of the 2008 global crisis sparked by problems of funding and liquidity that began in the U.S. This has led in recent years to a rapid and significant increase in indebtedness, especially in countries of the Eurozone and the United States.1 In Brazil, the fiscal situation has also worsened since 2008, for two reasons. On the one hand, the tax exemptions granted by the federal government aggravated the fall in government revenue resulting from reduced economic activity due to the domestic effects of the external crisis. On the other hand, public spending continued to grow fast: between 2008 and 2010, the current expenditure of the Union accelerated, jumping from 23.08% to 26.08% of GDP (close to the record observed in 2006 of 26.61% of GDP). Due to a combination of declining revenues and increased spending, there was a significant reduction in the primary surplus of the public sector, from 4.15% in September 2008 (the start of the global crisis) to 1.17% of GDP in September 2009.2 As a result there was an increase in the debt/GDP ratio, from 40.0% to 44.9% in the same period.3 In this frameword, although the current Brazilian tax position is more comfortable than that observed in developed countries, it is appropriate to ask whether the public debt in Brazil is sustainable in view of the current fiscal policy. Several studies have attempted to answer questions similar to this at other moments of the Brazilian economy (and world). This is the case Rossi (1987), Pastore (1995), Rocha (1997), Bevilaqua and Werneck (1997) and Issler and Lima (1998). These studies, however, relate to the period prior to 1994 and roughly conclude that the Brazilian public debt sustainability to the mid-90s was achieved by increasing the tax burden and the collection of the inflation tax. One goal of our study is to extend the analysis to the more recent period, using the methodology followed by Luporini (2002), Tanner and Ramos (2002), Giambiagi and Ronci (2004) and Mello (2005), and to improve the database for the analysis, making use a time series of the public deficit not previously explored in the literature. In addition to testing the sustainability of public debt through a retrospective empirical analysis, this paper aims to investigate the macroeconomic implications of its results. In this sense, it has similar goals to other prospective studies such as Bevilaqua and Garcia (2000), Goldfajn (2002) and Rossi (2006), but uses a different approach. Specifically, we simulate the prospective performance of the Brazilian economy in the framework of a macroeconomic model, under the assumption that the fiscal authority is committed to debt sustainability. For this purpose, a dynamic stochastic general equilibrium model (DSGE) of the type proposed by Galí et al. (2007)4 was calibrated for the Brazilian economy, and used to analyze the effects of public spending on consumption. It considers the hypothesis of price rigidity as in Calvo (1983), and explicitly includes the need to finance public deficits. This allows the analysis of the sustainability of economic policy in late 2010, when inflation control was one of the main objectives of economic policy, but the tax burden was close to 40% of GDP, real interest rates are higher than 6,5% per year and the primary surplus is of the order of 1.6% of GDP. We examine the dynamic behavior of the main macroeconomic aggregates (private consumption, taxes, public debt, inflation and interest rate) on simulations produced by the model in response to various shocks. As we shall see, these exercises indicate that there is no incompatibility between the maintenance of debt sustainability and monetary policy of inflation targeting. The analysis also suggests that it is possible to manage economic policy in order to obtain lower interest rates than those prevailing in early 2011. This paper has four other sections besides this introduction. The second presents the methodological framework of sustainability tests, and the third describes the DSGE model used to simulate the future behavior of the economy. The fourth section presents the results of empirical tests of sustainability and the prospective model. The last section summarizes the conclusions.

This study tested the sustainability of public debt and analyzed its macroeconomic impacts. The application of tests proposed in the international literature pointed out that public debt was sustainable in Brazil in the period 1991–2009. This result was obtained both when considering the expected real interest rate conditional on past information constant, as in the case in which this condition has not been satisfied. These tests are innovative with respect to literature, by including a more recent period, and by using data that had not been previously used for this purpose. They have the important advantage of using directly, without additional manipulation, the series of variables necessary to test the sustainability of the debt (the stock of debt and deficits). This greatly facilitated the interpretation of test results, avoiding the need encountered in other studies of making considerations and hypotheses about the possible effects of such adjustments. Another important finding that emerges from the retrospective analysis is that adopting in the present, a higher value of the debt/GDP ratio (or, similarly, a lower value for the primary surplus) decreases the scope for future economic policy. In fact, the cointegration test between deficit and debt in Brazil has shown that, in the period we analyzed, it was necessary to run a primary surplus of around 3.09% of GDP to “sustain” a debt/GDP ratio of about 40%. If the surplus falls, the debt that can be sustained also falls. Based on these results, we simulate the behavior of key macroeconomic variables if the Brazilian fiscal policy had committed to the sustainability of public debt. In the scenario adopted, this hypothesis would suggest a reduction of 1.2 p.p. in the relation of public spending/GDP in 2010, which would reverse the upward trend registered by this variable. This exercise is done in the light of a context of high uncertainty regarding the trajectory of the world and Brazilian economy. The latter is characterized in the last two years by a combination of low growth and persistently high inflation. The scenario outlined by the DSGE model showed that if the government makes this fiscal effort, the effects would be: (i) increased private sector participation in the economy, given the crowding-in effect, (ii) reduced tax burden and public debt, given the reduced need for funding; (iii) cooling of inflation, due to the smaller pressure of the public sector on aggregate demand, and (iv) reduction of interest rates, reflecting the reduced need for action by the monetary authority. The results presented in this paper make clear the benefits of a tax policy where spending grows at smaller rate than GDP. More than that, they suggest that fiscal policy can contribute to monetary policy in controlling inflation, which would create the conditions for the country to coexist with lower interest rates.