The effectiveness of fiscal policy in Brazil through the MIDAS Lens

IF 3.5 2区 经济学 Q1 ECONOMICS Journal of Policy Modeling Pub Date : 2024-01-01 DOI:10.1016/j.jpolmod.2023.10.004
Renan Santos Alves , Andreza A. Palma
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Abstract

This paper aims to examine the effects of fiscal policy on economic growth in Brazil between 1999 and 2017. For this purpose, a novel methodology is applied, using a Vector Autoregressive with Mixed Frequency (MIDAS-VAR) model, proposed by Ghysels (2016), which allows for the estimation of the spending multiplier by measuring the impact of high-frequency data at low-frequency and vice versa. The impact of various types of spending on the gross domestic product (GDP) is analyzed, including primary expenditure, personnel, social benefits, subsidies, investment, and costing, while the central government’s primary revenue is used as the revenue variable. The expenditure and tax revenue are the high-frequency variables (monthly observations), whereas GDP is a low-frequency series (quarterly). The estimated fiscal multipliers for primary spending are less than one, suggesting no significant Keynesian effect on output, with particular attention given to the investment multiplier, which is estimated to be close to zero. Our results suggest that the frequency of data matters, and government expenditure has no significant impact on real GDP growth in Brazil. Therefore, the ability of Brazilian fiscal policy to influence economic growth may be limited.

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从MIDAS视角看巴西财政政策的有效性
本文旨在研究1999年至2017年巴西财政政策对经济增长的影响。为此,采用了一种新颖的方法,使用由Ghysels(2016)提出的混合频率矢量自回归(MIDAS-VAR)模型,该模型允许通过测量高频数据对低频的影响来估计支出乘数,反之亦然。分析各类支出对国内生产总值(GDP)的影响,包括初级支出、人员、社会福利、补贴、投资和成本,并以中央政府的初级收入作为收入变量。支出和税收是高频变量(每月观察),而GDP是低频序列(季度)。主要支出的估计财政乘数小于1,表明对产出没有显著的凯恩斯效应,特别注意投资乘数,估计接近于零。我们的研究结果表明,数据的频率很重要,政府支出对巴西的实际GDP增长没有显著影响。因此,巴西财政政策影响经济增长的能力可能有限。
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来源期刊
CiteScore
6.20
自引率
11.40%
发文量
76
期刊介绍: The Journal of Policy Modeling is published by Elsevier for the Society for Policy Modeling to provide a forum for analysis and debate concerning international policy issues. The journal addresses questions of critical import to the world community as a whole, and it focuses upon the economic, social, and political interdependencies between national and regional systems. This implies concern with international policies for the promotion of a better life for all human beings and, therefore, concentrates on improved methodological underpinnings for dealing with these problems.
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