Choque fiscal e a dinâmica da estrutura a termo da taxa de juros no Brasil

The study presents a macro-finance model to analyze the impacts of a fiscal policy shock in the Brazilian term structure of interest rate in the period 1999-2010. Fiscal policy explains a higher proportion of the long-term interest rate variance (25% of the five years rate) comparing to the short-term interest rate (13% of the one month rate); while the monetary policy explains a higher proportion of the short-term variance (23% of the one month rate) comparing to the long-term interest rate (6% of the five years rate). Fiscal policy austerity, represented by an increase in the primary budget surplus, reduces interest rate in general, especially the long-term rate, while the monetary policy, represented by an increase in the SELIC rate increases especially the short-term rate. The results are robust regarding the observed variables choice, to the number of lags in the model, and to the identification hypothesis. The study suggests that fiscal policy represents a large part of the evolution of the Brazilian term structure of interest rate, especially movements related to long-term rate, and indicates the limits of the Monetary Authority and the Central Bank in controlling interest rates and inflation, while contributes to the debate regarding the impact of fiscal shocks over interest rate.