Detecção de bolhas para avaliar a sustentabilidade fiscal no Brasil

• Ano de defesa: 2020
• Autor(a) principal: Franca, Gleicimara Dos Anjos [UNIFESP]
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de São Paulo (UNIFESP)
• Palavras-chave em Português: Debt/GDP; Fiscal Sustainability; Bubbles; Dívida/PIB; Sustentabilidade Fiscal; Bolhas
• Link de acesso: https://sucupira.capes.gov.br/sucupira/public/consultas/coleta/trabalhoConclusao/viewTrabalhoConclusao.jsf?popup=true&id_trabalho=9526043; https://hdl.handle.net/11600/64678

This paper proposes to detect the existence of bubbles in the public debt in proportion of Gross Domestic Product (GDP) and related variables such as 5-years sovereign Credit Default Swaps (CDS), the bond yield spread and the inflation rate. We still date these explosive behaviors (if any). The study is carried out for Brazil with monthly data from October 2001 and ends in October 2019. The methodology used is based on the tests of the Augmented Dickey-Fuller (ADF), Rolling ADF (RADF), Supremum ADF (SADF) (Phillips et al., 2011), generalized SADF (GSADF) (Philips et al., 2015) simulating the critical values by bootstrap combining the procedures of Harvey et al. (2016) and Shi et al. (2018) or based on Pedersen and Schütte (2017). The tests indicated explosive behavior for the public debt/GDP series. The GSADF test, which has a greater power to detect periods of bubble, showed significant explosive behavior in the period from October 2015 to October 2019. The related variables studied did not indicate explosive behavior, even though some tests showed significant results, the periods of bubble were smaller than they should be considered.