Maturidade da dívida pública e modelos DSGE

Lins, Paulo de Carvalho

doi:10.11606/d.12.2016.tde-06102016-154812

Cited by 1 publication

(1 citation statement)

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“…Until the present stage, few pieces of work have analyzed the relationships between public debt maturity in DSGE models, the most prominent are the studies made by: Lins (2016) and Dias and de Andrade (2016). The article of Lins (2016) sought to evaluate through a DSGE model whether the existence of a postfixed security – the National Treasury Bills (LTF) – weakens the effectiveness of monetary policy to fight inflation by obstructing the wealth channel by which it is transmitted. The results indicate that with the introduction of this bond, the long-term interest rate ended up responding to changes in the short-term interest rate.…”

Section: Literature Reviewmentioning

confidence: 99%

Public debt management and the interaction between fiscal and monetary policies

Nobrega

Besarria

Aragón

2021

JES

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PurposeThis paper aims to investigate the existing relations between the management of public bonds on the dynamics of debt, term structure of interest rates and economic cycle, through a dynamic stochastic general equilibrium model (DSGE), which was estimated through Bayesian inference techniques using data from Brazil.Design/methodology/approachThe model developed was used to investigate the effects of the public debt average maturity management when the economy faces a monetary policy shock. For this, three management scenarios are evaluated, including Brazilian securities average term.FindingsContrary to what might be inferred from DSGE models that limited the analysis of the debt term by imposing only one-period bonds, a contractionary monetary policy shock does not necessarily cause public debt to increase significantly. Debt term structure plays a crucial role in this result since the government does not need to roll the debt over at higher costs when the debt term profile is longer, reducing the debt service costs and then the impact on the overall debt.Originality/valueDespite the relevance of this theme and its implications for the dynamics of the economy, there is still a gap to be filled in the literature when using DSGE models, since most part of the work that used this methodology limited the analysis of the debt term by imposing that government issues only one-period bonds. This paper differs from the others insofar as it promotes an investigation focused on the role played by debt maturity management on the performance of the contractionary monetary policy. This approach can generate a better understanding of debt management policy and its interaction with fiscal and monetary policies.

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Section: Literature Reviewmentioning

confidence: 99%