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Autor
Tariffi Leonardo Augusto (University of Barcelona, Catalonia in Spain)
Tytuł
A Threshold Multivariate Model to Explain Fiscal Multipliers with Government Debt
Źródło
Econometric Research in Finance, 2019, vol. 4, nr 1, s. 27-40, tab., wykr., bibliogr. 20 poz.
Słowa kluczowe
Mnożnik fiskalny, Modele prognostyczne, Dług, Modele nieliniowe, Polityka fiskalna
Fiscal multiplier, Forecasting models, Debt, Nonlinear models, Fiscal policy
Uwagi
JEL classifcation: C32
summ.
Abstrakt
This paper shows fiscal multipliers, considering levels of public debt with multivariate threshold models. Non-linear behavior in sovereign debt-to-GDP ratio time series determine the relationship between output and government expenditure. The debt-to-GDP ratio has been selected optimally as an endogenous threshold variable to evaluate non-linearities; it has been useful for identifying estimators in a multivariate threshold autoregressive model; and it has been an important tool to observe how the multiplier changes during good times and bad. Expansionary fiscal policies seem to be counterproductive in this framework. This result highlights the link between real and financial variables. (original abstract)
Dostępne w
Biblioteka Szkoły Głównej Handlowej w Warszawie
Pełny tekst
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Bibliografia
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  4. Bai, Jushan., Perron, Pierre (2003b), Computation and analysis of multiple structural change models, "Journal of Applied Econometrics", vol. 18, pp. 1-22.
  5. Blanchard, Olivier., and Leigh, Daniel (2012), Are We Underestimating Short-Term Fiscal Multipliers?, World Economic Outlook of the International Monetary Fund, vol. October, pp. 41-43.
  6. Blanchard, Olivier., Perotti, Roberto (2002), An empirical characterization of the dynamic effects of changes in government spending and taxes output, "The Quarterly Journal of Economics", vol. 117, n. 4, pp. 40.
  7. Campos, Julia., Ericsson, Neil R., Hendry, David F. (2005), General-to-specific Modeling: An Overview and Selected Bibliography, International Finance Discussion Papers, n. 838.
  8. Christiano, Lawrence., Eichenbaum, Martin., Rebelo, Sergio (2011), When Is the Government Spending Multiplier Large?, J"ournal of Political Economy", vol. 119, n. 1, pp. 78-121.
  9. Denes, Matthew., Eggertsson, Gauti B., Gilbukh, Sophia (2013), Deficits, public debt dynamics and tax and spending multiplier", "The Economic Journal", vol. 123, pp. F133-F163.
  10. Engle, Robert F., Granger, C. W. J. (1987), Co-Integration and Error Correction: Representation, Estimation, and Testing, "Econometrica", vol. 55, n. 2, pp. 251-276.
  11. Favero, Carlo., Giavazzi, Francesco (2007), Debt and the effects of fiscal policy, NBER Working Papers, n. 12822.
  12. Ilzetzki, Ethan., Mendoza, Enrique G., and Végh, Carlos A. (2011), "How Big (Small?) are Fiscal Multipliers?", IMF Working Paper, n. 11/52.
  13. Kim, Soyoung., and Roubini, Nouriel (2008), Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S., "Journal of International Economics", vol. 74, pp. 362-383.
  14. Nickel, Christiane., Vansteenkiste, Isabel (2008), Fiscal policies, the current account and Ricardian equivalence, ECB Working papers, n. 935.
  15. Parker, Jonathan A. (2011), "On measuring the effects of fiscal policy in recessions", NBER Working Paper, n. 17240.
  16. Reinhart, Carmen M., Rogoff, Kenneth S. (2010), "Growth in a time of debt", NBER Working Papers, n. 15639.
  17. Tsay, Ruey S. (1989), Testing and Modeling Threshold Autoregressive Processes, "Journal of the American Statistical Association", vol. 84, n. 405, pp. 231-240.
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  20. Woodford, Michael (2010), Simple Analytics of the Government Expenditure Multiplier, NBER Working Paper, n. 15714.
Cytowane przez
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ISSN
2451-1935
2451-2370
Język
eng
URI / DOI
http://dx.doi.org/10.33119/ERFIN.2019.4.1.2
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