Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach

• 成果类型: Article; Proceedings Paper
• 署名作者: Lima, Luiz Renato; Gaglianone, Wagner Piazza; Sampaio, Raquel M. B.
• 署名单位: Getulio Vargas Foundation; Getulio Vargas Foundation
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2007.11.002
• 发表日期: 2008
• 页码: 313-335
• 关键词: Fiscal policy; Debt ceiling; quantile autoregression

摘要

In this paper we investigate fiscal sustainability by using a quantile autoregression (QAR) model. We propose a novel methodology to separate periods of nonstationarity from stationary ones, allowing us to identify various trajectories of public debt that are compatible with fiscal sustainability. We use such trajectories to construct a debt ceiling, that is, the largest value of public debt that does not jeopardize long-run fiscal sustainability. We make an out-of-sample forecast of such a ceiling and show how it could be used by Policy makers interested in keeping the public debt on a sustainable path. We illustrate the applicability of our results using Brazilian data. (C) 2007 Elsevier B.V. All rights reserved.