| bibtype |
V -
Research Report
|
| ARLID |
0360356 |
| utime |
20240103195251.3 |
| mtime |
20110707235959.9 |
| title
(primary) (eng) |
Fiscal developments and financial stress: a threshold VAR analysis |
| publisher |
| place |
Praha |
| name |
ÚTIA AV ČR |
| pub_time |
2011 |
|
| specification |
|
| edition |
| name |
Research Report |
| volume_id |
2299 |
|
| keyword |
fiscal policy |
| keyword |
threshold VAR |
| keyword |
financial markets |
| author
(primary) |
| ARLID |
cav_un_auth*0231592 |
| name1 |
Baxa |
| name2 |
Jaromír |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0272679 |
| name1 |
Afonso |
| name2 |
Antonio |
| country |
PT |
|
| author
|
| ARLID |
cav_un_auth*0272680 |
| name1 |
Slavík |
| name2 |
M. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| reportyear |
2012 |
| RIV |
AH |
| mrcbC52 |
4 O 4o 20231122134601.3 |
| permalink |
http://hdl.handle.net/11104/0197927 |
| arlyear |
2011 |
| mrcbTft |
\nSoubory v repozitáři: 0360356.pdf |
| mrcbU10 |
2011 |
| mrcbU10 |
Praha ÚTIA AV ČR |
|