O impacto da política fiscal nos spreads soberanos : a austeridade fiscal e a qualidade do ajuste

The objective of this paper is to analyze the role of fiscal policy in the determinants of the sovereign spreads of a group of 23 emerging market countries in the period 1995-2008 focusing on two matters: i) fiscal policy sustainability, known as the accumulation of primary budget surplus, that keeps the debt-to-gdp ratio constant, and ii) the quality of fiscal adjustment, understand as the composition of the primary budget surplus. The paper expands and deals with some limitations in the model proposed by Favero and Giavazzi (2004) to the Brazilian case, and incorporates the debate proposed by Akitoby and Stratmann (2006) regarding the importance of the fiscal policy sustainability as well as the quality of fiscal adjustment in the term premia of sovereign spreads. The results are robust to several model`s specifications, by using instrumental variables, and either one of two different database of fiscal variables. The estimates are significant and with the expected signal, i.e., the higher the fiscal sustainability, the less the debt-to-gdp ratio, the less the market risk aversion, the so-called Type I adjustment (expenditure-based mainly on current expenditures) in detriment of the Type II (tax increase and cuts in public spending), the higher the spread reduction. The paper evidence that once accounted for international financial shocks, fiscal policy sustainability plays a relevant role in determining the sovereign spreads of emerging markets besides contribute as an effective public policy that potentially mitigates spillover effects.