0360356 20240103195251.320110707235959.9 Praha ÚTIA AV ČR 2011 56 s. Research Report 2299 fiscal policy threshold VAR financial markets cav_un_auth*0231592 Baxa Jaromír Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0272679 Afonso Antonio PT cav_un_auth*0272680 Slavík M. CZ http://library.utia.cas.cz/separaty/2011/E/baxa-0360356.pdf GA402/09/0965 GA ČR cav_un_auth*0253176 CEZ:AV0Z10750506 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. 2012 AH 4 O 4o 20231122134601.3 http://hdl.handle.net/11104/0197927 2011 Soubory v repozitáři: 0360356.pdf 2011 Praha ÚTIA AV ČR