Browsing by Author "Rault, Christophe"
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- 3-step analysis of public finances sustainability : the case of the European UnionPublication . Afonso, António; Rault, ChristopheWe use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the mean-reverting behaviour of general government expenditure and revenue ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross-sectional dependencies of the regression error. Thirdly, we check for a structural long-run equation between general government expenditures and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal sustainability is an issue in most countries, with a below unit estimated coefficient of expenditure in the cointegration relation with revenue as the dependent variable.
- 3-step analysis of public finances sustainability: the case of the European UnionPublication . Afonso, António; Rault, ChristopheWe use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the mean-reverting behaviour of general government expenditure and revenue ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross-sectional dependencies of the regression error. Thirdly, we check for a structural long-run equation between general government expenditures and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal sustainability is an issue in most countries, with a below unit estimated coefficient of expenditure in the cointegration relation with revenue as the dependent variable.
- Bootstrap panel Granger-causality between government budget and external deficits for the EUPublication . Rault, Christophe; Afonso, AntónioWe investigate the existence of Granger-causality between current account and government budget balances over the period 1970-2007, for different EU and OECD country groupings. We use a panel-data approach based on SUR systems and Wald tests with country specific bootstrap critical values. Our results show a causal relation from budget deficits to current account deficits for several EU countries: Bulgaria, Czech Republic, Estonia, Finland, France, Italy, Hungary, Lithuania, Poland, and Slovakia, along the lines of the so-called twin-deficit relationship. Considering the effective real exchange rate in the SUR system does not substantially alter the results.
- Bootstrap panel Granger-causality between government budget and external deficits for the EUPublication . Afonso, António; Rault, ChristopheWe investigate the existence of Granger-causality between current account and government budget balances over the period 1970-2007, for different EU and OECD country groupings. We use a panel-data approach based on SUR systems and Wald tests with country specific bootstrap critical values. Our results show a causal relation from budget deficits to current account deficits for several EU countries: Bulgaria, Czech Republic, Estonia, Finland, France, Italy, Hungary, Lithuania, Poland, and Slovakia, along the lines of the so-called twin-deficit relationship. Considering the effective real exchange rate in the SUR system does not substantially alter the results.
- Bootstrap panel Granger-causality between government spending and revenuePublication . Afonso, António; Rault, ChristopheUsing bootstrap panel analysis, allowing for cross-country correlation, without the need of pre-testing for unit roots, we study the causality between government revenue and spending for the EU in the period 1960-2006. Spend-and-tax causality is found for Italy, France, Spain, Greece, and Portugal, while tax-and-spend evidence is present for Germany, Belgium, Austria Finland and the UK, and for several EU New Member States.
- Bootstrap panel Granger-causality between government spending and revenue in the EUPublication . Afonso, António; Rault, ChristopheUsing bootstrap panel analysis, allowing for cross-country correlation, without the need of pre-testing for unit roots, we study the causality between government revenue and spending for the EU in the period 1960-2006. Spend-and-tax causality is found for Italy, France, Spain, Greece, and Portugal, while tax-and-spend evidence is present for Germany, Belgium, Austria, Finland and the UK, and for several EU New Member States.
- Budgetary and external imbalances relationship : a panel data diagnosticPublication . Afonso, António; Rault, ChristopheWe assess the cointegration relationship between current account and budget balances, and effective real exchange rates, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship between the two imbalances for each country for the period 1970-2007, and for different EU and OECD country groupings. The panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and negative effects of budget balances on current account balances for several countries. The magnitude of the effects varies across countries, and there is no evidence pointing to a direct and close relationship between budgetary and current account balances.
- Budgetary and external imbalances relationship : a panel data diagnosticPublication . Afonso, António; Rault, ChristopheWe assess the cointegration relationship between current account and budget balances, and effective real exchange rates, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship between the two imbalances for each country for the period 1970-2007, and for different EU and OECD country groupings. The panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and negative effects of budget balances on current account balances for several countries. The magnitude of the effects varies across countries, and there is no evidence pointing to a direct and close relationship between budgetary and current account balances.
- Long-run determinants of sovereign yieldsPublication . Afonso, António; Rault, ChristopheWe study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant determinants of sovereign yields.
- Multi-step analysis of public finances sustainabilityPublication . Afonso, António; Rault, ChristopheWe use an original multi-step analysis to assess the sustainability of public finances. Firstly, we investigate the mean-reverting behaviour of government expenditures and revenues. Secondly, we apply bootstrap panel cointegration techniques to check for a long-run relationship between expenditures and revenues. Thirdly, we check the coefficient of expenditure in the cointegration relation. Fourthly, we estimate panel error correction models to identify short-run and long-run fiscal developments. While the results imply that public finances were not unsustainable for the EU panel, they highlight that fiscal sustainability is an issue for most countries, as evidenced by a below unit estimated coefficient of expenditure in the cointegration relation.