FINANCIAL INDEXATION AND PROCYCLICAL BEHAVIOR OF BRAZILIAN PUBLIC DEBT

Authors

  • Giuliano Contento Oliveira UNICAMP
    • Carlos Eduardo Ferreira Carvalho PUC/SP

      DOI:

      https://doi.org/10.22456/2176-5456.6857

      Keywords:

      Public debt. Financial indexation. Public debt management.

      Abstract

      The paper discusses the relationship between financial indexation (existence of treasury bonds indexed to short-term interest rate, with high liquidity) and procyclical behavior of Brazilian public debt – the sensibility of indexed parcel of DPMFi to Selic to effective and expected changes of Selic, with particular attention to the period after the establishment of the inflation targeting system. Through a Vector Error Correction Model (VECM), it is argued that the indexation of much of the public debt to Selic decrease the autonomy in public debt management, because changes in the Selic, or variables that signalize its elevation, increase the participation of treasury bonds indexed to Selic.

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      Published

      2010-09-24

      How to Cite

      Oliveira, G. C., & Carvalho, C. E. F. (2010). FINANCIAL INDEXATION AND PROCYCLICAL BEHAVIOR OF BRAZILIAN PUBLIC DEBT. Análise Econômica, 28(53). https://doi.org/10.22456/2176-5456.6857

      Issue

      Vol. 28 No. 53 (2010): março de 2010

      Section

      Artigos

      License

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