Název:
Fiscal developments and financial stress: a threshold VAR analysis
Autoři:
Baxa, Jaromír ; Afonso, Antonio ; Slavík, M. Typ dokumentu: Výzkumné zprávy
Rok:
2011
Jazyk:
eng
Edice: Research Report, svazek: 2299
Abstrakt: We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, we investigate the possibility of a non-linear propagation of fiscal developments according to different financial market stress regimes. More specifically we employ a quarterly dataset, for the U.S., the U.K., Germany and Italy, for the period 1980:4-2009:4, encompassing macro, fiscal and financial variables. The results show that (i) the use of a nonlinear framework with regime switches is corroborated by nonlinearity tests; (ii) the responses of economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative effect on output growth and worsens the fiscal position; (iv) the nonlinearity in the response of output growth to a fiscal shock is mainly associated with different behaviour across regimes; (v) the size of the fiscal multipliers is higher than average in the last crisis.
Klíčová slova:
financial markets; fiscal policy; threshold VAR Číslo projektu: CEZ:AV0Z10750506 (CEP), GA402/09/0965 (CEP) Poskytovatel projektu: GA ČR