Ensaios sobre política fiscal: expectativas, dívida pública e câmbio

Abstract

This thesis investigates issues related to fiscal policy in Brazil, with a focus on its interaction with monetary policy, market expectations, and the exchange rate. The study is structured into three essays. The first essay conducts an empirical analysis of the demand for Letra Financeira do Tesouro (LFTs) in relation to the Central Bank’s repo operations, employing ARDL, DOLS, and FMOLS models. The study explores how these instruments interact within the framework of Brazilian monetary policy and public debt. Thus, the objective of this essay is to empirically analyze the determinants of the behavior of demand for LFTs relative to the demand for the securities underlying the Central Bank of Brazil’s repo operations. The econometric results suggest that LFTs exhibit a long-term relationship that is inversely associated with repo operations and exchange rate fluctuations, while positively associated with the expansion of the public debt stock. Therefore, the volume of LFTs demanded depends on the behavior of these other variables. The second essay analyzes the role of fiscal policy and expectations in the Brazilian economy from a Keynesian and post-keynesian perspective. This approach integrates both a theoretical review and econometric analysis. Accordingly, the objective of this essay is, on the one hand, to examine the theoretical contributions of Keynes and the post-keynesians regarding the role of fiscal policy in the formation of expectations and, on the other hand, to provide empirical evidence on the impacts of fiscal variables on economic expectations during the period from January 2008 to May 2025. To achieve these objectives, VAR/VEC econometric models are employed, whose empirical results converge with the theoretical debate and prior empirical studies on the subject, suggesting that the economic uncertainty index, which captures market expectations, is influenced by fiscal variables such as public debt and the primary balance. Finally, the third essay investigates the relationship between fiscal dominance and the exchange rate in Brazil from 2003 to 2025, following the approach proposed by Blanchard (2004) for open economies. The research combines theoretical review and empirical analysis of the coordination between fiscal and monetary policies. The objective of this essay is to analyze whether fiscal dominance was present in Brazil during the period from January 2008 to May 2025, considering an open economy with free capital mobility. The results suggest that the behavior of the real effective exchange rate in Brazil appears to be relatively insensitive to fiscal policy, in terms of both the primary balance and public debt, over the period analyzed. In the Keynesian and post-keynesian tradition, however, other factors condition the behavior of the exchange rate in Brazil, such as international liquidity conditions and the real flows of goods and services between the domestic economy and the rest of the world.