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...

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...

This article investigates the effects of fiscal policy shock in the Brazilian economy using quarterly data during the period between January/1995 and December/2007. We follow the agnostic procedure suggested by Mountford and Uhlig (2005) to verify separately the impact of the unexpected positive...

This article presents a linear econometric model with variable coefficients for the analysis of the quarterly dynamics of the Brazilian gross tax burden in the 1995-2008 years.The choice of this particular model was motivated by the constant changes made in the Brazilian tax system during these...

The aim of this article is to estimate a Bayesian factorial dynamic model for the analysis and forecasting of the Brazilian tax burden (BTB) using monthly data from 1996 to 2007. Twenty taxes are responsible for about 80% of the BTB, each of which with a distinct seasonal pattern The factorial...

The goal of this article is to model the desagregated series of taxes in Brazil. We use monthly data of a sample of taxes in charge for 80% of the Brazilian gross tax burden in the 1995-2010 years. For estimate the model we employ a Dynamic Linear Model (DLM) with variable parameter (WEST e...

This article aims to estimate the dynamic factor model for prediction tax receipts in Brazil using monthly data for the period 2001-2013. The factorial model allows to reduce the dimensionality of the high number of taxes taking into account the information contained in the existing...

This study aimed to the application of forecasts combination of model to predict tax revenues in Brazil. Here we combine the predictions obtained from three models: dynamic factor model (DFM), seasonal autoregressive integrated moving average (Sarima) and model of Holt-Winters smoothing. We...

The objective of this study is to perform an econometric modeling exercise of the individual series of taxes aiming to obtain income elasticity and the future projection for each tax. For this, we apply dynamic linear models (MLD) and dynamic factor (MFD), both estimated based on the Bayesian...

In this study, we undertook an econometric analysis aim to forecast the disaggregated series of ICMS administered by Confaz. Three methodologies were applied: i) the dynamic structural model (BSTS); ii) the dynamic linear model (MLD); and iii) the dynamic factorial model (MFD), all of them...