| bibtype |
J -
Journal Article
|
| ARLID |
0488303 |
| utime |
20240103215822.9 |
| mtime |
20180316235959.9 |
| SCOPUS |
85008220563 |
| WOS |
000425952000004 |
| DOI |
10.1007/s00181-016-1210-5 |
| title
(primary) (eng) |
Fiscal developments and financial stress: a threshold VAR analysis |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0293026 |
| ISSN |
0377-7332 |
| title
|
Empirical Economics |
| volume_id |
54 |
| volume |
2 (2018) |
| page_num |
395-423 |
| publisher |
|
|
| keyword |
Fiscal policy |
| keyword |
Financial markets |
| keyword |
Threshold VAR |
| author
(primary) |
| ARLID |
cav_un_auth*0359564 |
| name1 |
Afonso |
| name2 |
A. |
| country |
PT |
|
| author
|
| ARLID |
cav_un_auth*0231592 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Baxa |
| name2 |
Jaromír |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0272680 |
| name1 |
Slavík |
| name2 |
M. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2019 |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0283144 |
| cooperation |
| ARLID |
cav_un_auth*0359350 |
| name |
European Central Bank |
| institution |
ECB |
|
| cooperation |
| ARLID |
cav_un_auth*0359351 |
| name |
Technical University of Lisbon |
| institution |
ISEG/TULisbon |
| country |
PT |
|
| confidential |
S |
| mrcbC86 |
1* Article Economics|Social Sciences Mathematical Methods |
| mrcbT16-e |
ECONOMICS|SOCIALSCIENCESMATHEMATICALMETHODS |
| mrcbT16-j |
0.483 |
| mrcbT16-s |
0.567 |
| mrcbT16-B |
29.381 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2018 |
| mrcbU14 |
85008220563 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000425952000004 WOS |
| mrcbU63 |
cav_un_epca*0293026 Empirical Economics 0377-7332 1435-8921 Roč. 54 č. 2 2018 395 423 Heidelberg Physica |
|