A carregar...
Publicação
Fiscal developments and financial stress: a threshold VAR analysis
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.21 MB | Adobe PDF |
Orientador(es)
Resumo(s)
We use a threshold VAR analysis to study the linkages between changes in
the debt ratio, economic activity and financial stress within different financial regimes.
We use quarterly data for the US, the UK, Germany and Italy, for the period 1980:4–
2014:1, encompassing macro, fiscal and financial variables, and use nonlinear impulse
responses allowing for endogenous regime-switches in response to structural shocks.The results show that output reacts mostly positively to an increase in the debt ratio in
both financial stress regimes; however, the differences in estimated multipliers across
regimes are relatively small. Furthermore, a financial stress shock has a negative effect
on output and worsens the fiscal situation. The large time-variation and the estimated
nonlinear impulse responses suggest that the size of the fiscal multipliers was higher
than average in the 2008–2009 crisis.
Descrição
Palavras-chave
Fiscal Policy Financial Markets Threshold VAR
Contexto Educativo
Citação
Afonso, Antonio; Jaromir Baxa and Michal Slavík. (2018). "Fiscal developments and financial stress: a threshold VAR analysis". Empirical Economics, Vol. 54, No.2: pp. 395-423.
Editora
Springer