Ensaios sobre a previdência e as finanças públicas dos municípios brasileiros

Tese (doutorado)—Universidade de Brasília, Departamento de Economia, Brasília, 2018.Esta tese consiste de três estudos sobre os regimes de previdência dos servidores públicos municipais no Brasil e suas relações com as finanças públicas. Os capítulos são independentes e cada um se concentra em um fenômeno distinto. O capítulo 1 descreve a experiência internacional e apresenta o histórico brasileiro. A ênfase reside na disseminação de regimes próprios de previdência social (RPPS) entre os municípios na década de 1990 e no processo de extinção que ocorreu em seguida. É apresentado um modelo teórico que retrata as mudanças na restrição orçamentária do governo quando ele passa a administrar a previdência dos seus servidores. Tal modelo admite o uso estratégico da política de fundeamento pelos governantes. Segundo a teoria, a criação (extinção) de um RPPS pode gerar elevação (queda) nos gastos públicos devido à calibração do nível de fundeamento ou simplesmente porque os encargos do regime geral são excessivamente onerosos. Porém, não é viável distinguir entre esses dois fatores empiricamente por meio dos dados disponíveis. Os resultados de estática comparativa mostram, por um lado, que as regras federais sobre a organização e o funcionamento dos RPPS devem ter contribuído para tornar tais regimes menos desequilibrados intertemporalmente, dado que aumentaram as chances do subfinanciamento ostensivo ser percebido e punido; e, por outro, que a Emenda da Reeleição pode ter exercido alguma influência, na medida em que aumentou o horizonte de planejamento dos prefeitos. O capítulo 2 analisa empiricamente se os incentivos eleitorais afetam a política fiscal dos municípios e, em particular, as contribuições para a previdência dos servidores. Mais especificamente, testa-se as hipóteses de que as eleições exercem um papel disciplinador sobre as ações dos prefeitos que podem se reeleger e de que tais governantes manipulam a política fiscal para sinalizar sua competência, dando origem a ciclos político-orçamentários. As estimativas exploram a interação entre limites de mandato e margem de vitória nas eleições e, nesse sentido, baseiam-se na mudança descontinua nos incentivos dos incumbentes ocorrida quando um prefeito candidato vence uma eleição por uma diferença proporcionalmente pequena de votos. Os resultados indicam que as eleições alinham os interesses dos políticos aos do eleitorado, uma vez que os governantes apresentam deficits menores (superavits maiores) e se esforçam mais para atrair transferências discricionárias quando podem concorrer a outro mandato. Ademais, tais incumbentes geram ciclos nos investimentos públicos, que constituem o componente mais visível dos gastos na desagregação adotada. No que diz respeito aos RPPS, os resultados sugerem que os governantes elegíveis à reeleição recolhem menos contribuições dos servidores no ano da eleição, mas trata-se de um efeito bastante local, que só é estatisticamente significante para as eleições de 2004, na sequência da aprovação de alíquotas mínimas de contribuição. Por fim, o capítulo 3 investiga se restrições fiscais reduzem os ativos dos fundos de previdência dos municípios. Existem dois mecanismos relacionados capazes explicar tal fenômeno. De modo geral, choques negativos no orçamento podem afetar os ativos devido à “suavização dos impostos”, na medida em que o governante prefere reduzir as contribuições para a previdência em vez de aumentar os impostos ou reduzir outras despesas. Em particular, na presença de uma regra fiscal rígida, tais choques podem apresentar efeitos colaterais sobre os ativos quando o incumbente adota “trapaças fiscais” prejudiciais ao fundo de previdência para não desrespeitar formalmente determinado limite numérico previsto na legislação. O estudo analisa os limites para gastos com pessoal estabelecidos na Lei de Responsabilidade Fiscal (LRF) e apresenta evidências estatísticas de que os municípios manipulam suas despesas declaradas perto do teto. Para estimar o efeito da restrição fiscal, as regressões examinam a mudança descontínua ocorrida quando um município cruza o limite prudencial da LRF. Em síntese, os resultados sugerem que a restrição fiscal gera, no máximo, a redução de alguns repasses para a unidade gestora do RPPS. No entanto, acredita-se que diferenças nos salários médios explicam grande parte da queda verificada nos ativos por participante perto do limiar.This dissertation consists of three studies about the retirement systems of local public servants in Brazil and their connections with the public finances. The chapters are independent and each focuses on a different phenomenon. Chapter 1 describes the international experience and discusses the Brazilian case in historical perspective. The emphasis is on the dissemination of public employees’ retirement systems (PERS) among municipalities in the 1990s and the process of closure that occurred next. A model is presented to portray the changes in the government budget constraint when it starts to administer the employees’ pensions. This model allows for the strategic use of the funding policy by the incumbents. According to the theory, the creation (termination) of a PERS may lead to an increase (fall) in public outlays due to the calibration of the funding policy or simply because the charges of the national system are too high. However, it is not possible to distinguish between those two factors empirically based on the available data. The results from comparative statics show, on the one hand, that the federal rules on the organization and operation of PERS might have contributed to reducing the intertemporal imbalance of those schemes, as they increased the chances of ostensive underfunding being perceived and punished; and, on the other, that the Re-election Amendment may have exerted some influence, to the extent that it increased the planning horizon of mayors. Chapter 2 empirically analyzes whether the electoral incentives affect the fiscal policy of Brazilian municipalities and, in particular, the contributions to the retirement systems of public servants. More specifically, it tests the hypotheses that elections play a disciplining role on the actions of mayors that can be re-elected and that those politicians manipulate fiscal policy to signal their competence, leading to political-budget cycles. The estimates exploit the interaction between term limits and the margin of victory in elections and, in this sense, are based on the discontinuous change in incumbent incentives that occurs when a mayor that is also a candidate wins an election by a small proportional difference of votes. The results indicate that elections align the interests of politicians and the electorate, once mayors present lower deficits (higher surpluses) and deliver higher effort to attract discretionary transfers when they can run for another term. In addition, those incumbents generate a cycle on public investments, which constitute the most visible component of expenditures in the disaggregation adopted. Regarding PERS, the results suggest that re-election eligible incumbents collect fewer contributions from the public servants in the election year, but this is a rather local effect, which is only statistically significant for the elections held in 2004, following the approval of minimum rates of contribution. Finally, chapter 3 investigates whether fiscal constraints reduce the assets of municipal pension funds. There are two related mechanisms that can account for this phenomenon. In general, negative shocks to the budget can affect assets due to “tax smoothing”, to the extent that the mayor prefers to reduce pension contributions rather than raising taxes or reducing other expenses. In particular, when a stringent fiscal rule is in place, such shocks may have side effects on assets when the incumbent adopts “fiscal gimmicks” detrimental to the pension fund so as not to formally disrespect a numerical limit provided by the legislation. The study analyzes the limits for personnel expenses established in the Fiscal Responsibility Law (FRL) and presents statistical evidence that the municipalities manipulate their reported outlays near the ceiling. To estimate the effect of the fiscal constraint, the regressions examine the discontinuous change that occurs when a municipality crosses the prudential limit of the FRL. In a nutshell, the results suggest that the fiscal restraint generates at most the reduction in some payments to the PERS. Nonetheless, it is believed that differences in average wages account for the bulk of the observed fall in assets per participant near the cutoff

Determinação dos superávits do governo central brasileiro: influência da política monetária na ótica de regressões de limiar

Este artigo estuda a política fiscal no Brasil levando em consideração a influência dapolítica monetária. A taxa de inflação do IPCA e os gastos com juros como razão do PIBrepresentam variáveis de estado na determinação da sequência de superávits primáriospelo Tesouro. Dessa forma, o modelo empírico de reação da política fiscal foi estimadocom o auxílio de regressões de limiar. Em face dos resultados encontrados, não surpreendea tolerância do governo com superávits menores. Vale notar que cortes na taxaSELIC possuem efeitos mistos, pois menores despesas de juros possibilitam reduzir ossuperávits, porém mais inflação torna a política fiscal persistente. O inverso acontecena situação em que o Banco Central reduz a liquidez da economia.This paper studies the fiscal policy in Brazil accounting for the influence of monetarypolicy. The CPI inflation rate and the interest outlays as a ratio of GDP represent statevariables in the determination of the sequence of primary surpluses by the Treasury.Hence, the empirical model of the fiscal reaction function was estimated using thresholdregressions. In the light of the empirical evidence, it is no surprise the tolerance of thegovernment with lower surpluses. It is noteworthy that reductions in the SELIC rate havemixed effects, since the lower burden of interest expenses allow for lower surpluses,while more inflation makes the fiscal policy persistent. The inverse occurs when theCentral Bank reduces the liquidity in the economy

INFLAÇÃO, DESEMPREGO E CHOQUES CAMBIAIS: ESTIMATIVAS VAR PARA A ECONOMIA BRASILEIRA

This paper estimates a VAR model representing the new-Keynesian Phillips curve with exchange rate shocks for the Brazilian economy. The unemployment rate from the PME survey is our proxy for the marginal cost, inflation is measured by the CPI, and expectations were obtained from the Central Bank survey with the financial market. The empirical findings may be summed up in the following: a) the exchange rate pass-through is around 0.04 p.p. to the next month inflation (above 0.4 p.p. in the annualized rate) after an exogenous variation of R$0,01 in the dollar price, but this effect is insignificant; b) a shock on the unemployment rate lasts abound 18 months; c) an innovation of 0,06 p.p. on expectations is carried to inflation which is increased by 0,05 p.p. in the month following the shock (0.6 p.p. over the annualized inflation); and d) a shock on the inflation rate has no effect over the unemployment rate, that is, more inflation does not reduce unemployment.Este artigo estima um modelo de vetores autorregressivos (VAR) representando a curva de Phillips novo keynesiana com choques cambiais. A taxa de desemprego da Pesquisa Mensal de Emprego (PME) do IBGE é a proxy para o custo marginal, a inflação é medida pelo Índice Nacional de Preços ao Consumidor Amplo (IPCA) e as expectativas foram obtidas do boletim Focus do Banco Central do Brasil. Os resultados indicam que: a) o pass-through cambial é de cerca de 0,04 p.p. na inflação do mês seguinte ao choque de R$ 0,01 no preço do dólar (mais de 0,4 p.p. na inflação anualizada), mas esse efeito é insignificante; b) um choque médio na taxa de desemprego demora ao redor de 18 meses para desaparecer; c) uma inovação de 0,06 p.p. na expectativa de inflação é carregada para a inflação, que atinge um máximo de 0,05 p.p. no mês seguinte ao choque (0,6 p.p. na inflação anualizada); e d) choques na série de inflação não afetam a taxa de desemprego, isto é, mais inflação não reduz o desemprego

RELAÇÕES DE CAUSALIDADE NO PADRÃO DE CRESCIMENTO INDUSTRIAL NO BRASIL (1975-2003)

The main purpose of this paper was to identify the time preceding relations in the industrial production during 1975-2003, by the means of Granger causality tests. To that end, we have adopted the classification by categories of primary use (intermediate, consumer non-durable, consumer durable and capital goods). Specifically, we aimed to verify whether the distinct outcomes for the leadership and lagging relations that were a sharp characteristic of the Brazilian “miracle” have persisted. While the slowdown in the demand for consumer durables dragged the other sectors, the accumulation and production in the capital goods industry were finally growing. That was interpreted as a dynamic realization or effective demand problem. The main results of the present investigation emerged from a vector error correction model (VEC) and indicated that the production in the capital goods industry have lagged the movements in the consumer durables in the period, reproducing to a large extent the pattern observed during the growth “miracle”. Thus, conspicuous consumption seemed to drive industry and the economy as whole through growing spasms.O objetivo central do artigo foi identificar as relações de precedência temporal no âmbito da produção industrial no período 1975-2003 por meio de testes de causalidade Granger, em que foi utilizada a classificação por categorias de uso (bens intermediários, não duráveis de consumo, duráveis de consumo e de capital). Em particular, buscou-se verificar se as relações de liderança e defasagem que se apresentaram com clareza durante o “milagre brasileiro” persistiram durante o período em questão. Na ocasião, quando o desaquecimento na demanda por duráveis arrastava os demais setores, a acumulação e a produção corrente na indústria de bens de capital finalmente cresciam. Isso foi interpretado como sendo um problema de realização dinâmica ou demanda efetiva. Os principais resultados do presente estudo emergiram de um modelo de vetores autorregressivos com mecanismo de correção de erro (VEC) e indicaram que a produção na indústria de bens de capital secundou os movimentos em bens de consumo duráveis no período, reproduzindo em larga medida o padrão observado durante o “milagre”. Assim, o consumo conspícuo pareceu conduzir a indústria e a economia em seu conjunto por espasmos de crescimento

Obrigações futuras com a previdência dos servidores públicos municipais: Análise longitudinal

This paper calculates indexes for the funding levels of municipal retirement systems in Brazil using actuarial valuations and budget reports aiming to test hypotheses regarding the reasons which have driven underfunding in the past years notwithstanding the 1998 and 2003 reforms and the greater supervision exercised by the federal government since 2004. Data are for the years of 2008 and 2012. The results are in line with the tax-smoothing hypothesis and show that electoral politics may be relevant, although part of the variation is related to general trends. ln times of fiscal deterioration, the incumbent chooses to accumulate pension liabilities rather than increasing taxation or cutting other expenses. More candidates relative to the number of seats in the legislative chamber reduces the intertemporal deficit. Mayors enjoying support from the majority of the councilmen improve the long-run position, but the lame-duck ones care less about the local pension fund

Análises da dinâmica orçamentária dos municípios brasileiros: Uma aplicação da metodologia var com dados emphilhados

The paper estimates a panel-VAR using data on total expenditures, tax receipts and overall grants received for 5.544 Brazilian municipalities observed from 2002 through 2010. A sequence of hypotheses was investigated by the means of overidentification test statistics. Among our main findings, we underscore there exists evidence of change in the fiscal behavior of the municipalities, but which in average support the tax and spend hypothesis, as well as the flypaper effect of grants over expenditures. We also find there is a lot more dynamics in the expenditure compared to own revenues. We believe these results shed light on some important aspects of the municipal budget dynamics

Dívida líquida e dívida bruta: Uma abordagem integrada para analisar a trajetória e o custo do endividamento brasileiro

This paper addresses a disaggregated analysis which integrates gross and net public debt or, in other words, government assets and liabilities. This approach seemed appropriate due to the recent transition in the patrimonial composition of the public sector undertaken by the means of acquisitions of foreign and domestic assets with simultaneous expansion of debt securities, mainly through repurchase agreements. We used data obtained by consolidating information disclosed in some of the Central Bank tables, adjusting for methodological changes and taking account of the institutional transition resulting from the Fiscal Responsibility Law, which has forbid the Central Bank of issuing its own bonds for monetary policy purposes. A deterministic framework was offered as a means of assessing the impact of choices concerning the debt administration and the monetary and fiscal policies on the level and cost of the public debt. The model innovates to the extent that the implicit rate of interest is endogenous. In order to deal with the composition by index of each item of the net debt, in practice the simulations were matrix-oriented. The model may be improved chiefly by taking account of stochastic uncertainty and estimating and/or calibrating the interrelations among the macroeconomic variables. An important result of the analysis is that the net debt declines in a slower fashion than what is typically predicted. The current strategy of debt administration will possibly result in an increasing implicit rate for the next years, unless interest rates decline substantially. We underscore this may imply a nonnegligible fiscal cost in the medium and long term

Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996–2010)

This paper presents econometric estimates for the Brazilian aggregate imports over the period 1996–2010. To the best of our knowledge, this is the first paper that uses the Brazilian quarterly national accounts with this goal in mind. Besides estimating a demand equation (canonical model), as it is usual in the literature, we also explore the co-movements among total imports, gross fixed capital formation and household consumption (alternative model). The results underscore the role played by domestic income, which is the main determinant of total imports. The limited domestic supply of capital goods makes the allocation of domestic income also relevant to the imports dynamics. It should be noted, however, that this specification needs a better theoretical grounding. Evidence of nonlinearities has been found by different estimation techniques. Unfortunately its precise characterization turns out to be difficult due to the diversity of the results obtained. The out-of-sample assessment (one-step-ahead forecast) shows a good performance of the long-run vectors of the alternative models in predicting aggregate imports, meanwhile the best performance is obtained by the error correction representations of the canonical model. We believe those differences emerge from the different speeds of adjustment toward the long-run solutions

Estimativas econométricas para as importações agregadas com dados das contas nacionais trimestrais: 1996-2010

This paper shows new econometric estimates for the Brazilian function of aggregate imports. Besides the basic relation, which includes income and relative price and identifies a demand equation (canonic model), we explore the pronounced co-movements between total imports, household consumption and gross fixed capital formation (alternative model). Using Quarterly National Accounts data is an innovation of the paper, as well as the investigation of parametric instability by different techniques - cointegration with structural breaks, markovswitching regressions, and Kalman filter estimations of varying parameters. There is evidence of nonlinearities in data generating processes for each series as well as in the imports equations. The evolution of imports is strongly related to income and the composition of the domestic absorption, being small the exchange rate impact. It should be noted that, in the out-ofsample assessment, the long-run vectors exhibited good performance only for the alternative model, while the error correction representations for the canonic model obtained the best results, possibly due to the different speeds of adjustment towards the long-run solution