Política fiscal, sustentabilidade da dívida pública e liquidez dos títulos: uma análise para o Brasil

Correia, Fernando Motta; Meurer, Roberto

doi:10.1590/s0101-41612008000300008

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“…A condição fundamental de sustentabilidade de longo prazo da dívida pública requer que a expectativa do valor presente dos superávits primários futuros seja igual ou superior ao estoque atual da dívida pública (BAGHDASSARIAN, 2006;CORREIA;MEURER, 2008;PEDRAS, 2003). Caso o mercado perceba a incapacidade do governo em honrar os pagamentos da dívida pública, não estará mais disposto a financiá-lo, comprometendo a rolagem da dívida.…”

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A marcação a mercado como metodologia de apuração do estoque da dívida pública federal e os impactos em seus indicadores

Gago¹

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Public debt management can be singled out as one of the greatest responsibilities of the government, with the mission to minimize the refinancing cost in the long run, maintaining prudent risk levels. Public debt stock and the indicators that make up its profile represent the main parameters for debt strategies implementation and monitoring. Public debt managers have the important task to define the appropriate security pricing methodology that they should adopt to determine the stock of public debt. This research aims to analyze the consequences of adopting the mark-to-market method to calculate the federal debt stock, as well as to measure the impacts of its use on cost and risk indicators. Although international organizations recommend mark-to-market as the pricing methodology for securities in the calculation of the public debt stock, the results obtained through a survey showed that only 16% of the respondent countries reported using this accounting method to determine and publish their public debt stock. On the other hand, 50% of the participating countries reported using market value as relevant information to the management of public debt. The second stage of the research was to price domestic and external federal public debt securities by their market value in the period from December 2010 to December 2015. The results were compared with stock values and other public debt indicators published by the National Treasury, calculated by the price curve.After that, we measured the differences between the values obtained by the two different methods using the mean squared error criterion. We detected different price deviations on the curve in relation to market values, which are explained by fluctuations in market rates, term to maturity and government bond index characteristics. The analysis of the advantages and disadvantages of each method shows that the different public debt measure strategies offer distinct and complementary perspectives, providing the debt manager with a more complete information set for decision making regarding public debt financing strategies.

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Section: Referencial Teóricounclassified

A marcação a mercado como metodologia de apuração do estoque da dívida pública federal e os impactos em seus indicadores

Gago¹

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Política fiscal, sustentabilidade da dívida pública e liquidez dos títulos: uma análise para o Brasil

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Cited by 1 publication

References 4 publications

A marcação a mercado como metodologia de apuração do estoque da dívida pública federal e os impactos em seus indicadores

A marcação a mercado como metodologia de apuração do estoque da dívida pública federal e os impactos em seus indicadores

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