The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy

Cleomar Gomes Da Silva, Manoel Carlos de Castro Pires () and Fábio Terra

Economia, 2014, vol. 15, issue 2, 174_188

Abstract: The aim of this paper is to study the effects of public debt management on yield curve spreads in Brazil, in order to see possible impacts on the country's economic activity. State space models, together with Kalman Filter estimators, are used for the period ranging from June 2002 to February 2012. The results indicate that increases in the issuance of fixed rate linked bonds lead to increases on yield spreads and the longer the maturity, the longer the effect. The opposite occurs when there is an increased issuance of floating rate linked bonds. Therefore, a change in the structure of the Brazilian public debt is not neutral on the yield curve, with possible impacts on the country's macroeconomic balance.

Keywords: Public debt management; Fiscal and monetary policies; Kalman Filter (search for similar items in EconPapers)
JEL-codes: C32 E43 E63 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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