The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/24332 |
Resumo: | The current dissertation presents an empirical analysis of the relationship between income inequality, inflation, and public debt in 14 developed economies. For this, a Panel VAR model is estimated for an annual balanced panel data between 1980 and 2019, where it is taken into account the endogenous relationship between the variables. This study also includes the use of a heterogeneous model, Global VAR, where individual country specifications are taken into account. In relation to the homogeneous model, it is concluded that the positive change in income inequality results in a decrease in public debt over 4 years, after the introduction of the shock. In turn, a change in public debt results in a decrease in income inequality, at the time of the shock, followed by an increase in inequality in the medium term (2nd year to 4th year). A shock to inflation reduces the accumulation of debt in the short term (1st year), showing a positive and significant trend from the 2nd year onwards. In the results of the heterogeneous model, we see that the countries with the most statistically significant results are: Portugal, Spain, France, and Italy. In these cases, the results reflect statistical significance in the responses of the Gini Index, both to an inflation shock and to an increase in public debt. To date, this work is pioneer, as the relationship between these variables has never been empirically explored, namely in a context of time-series analysis. |
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The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approachGini coefficientIncome inequalityDívida pública -- Public debtInflation ratePanel VARGlobal VARIndice de GiniDesigualdade de rendimentosInflaçãoThe current dissertation presents an empirical analysis of the relationship between income inequality, inflation, and public debt in 14 developed economies. For this, a Panel VAR model is estimated for an annual balanced panel data between 1980 and 2019, where it is taken into account the endogenous relationship between the variables. This study also includes the use of a heterogeneous model, Global VAR, where individual country specifications are taken into account. In relation to the homogeneous model, it is concluded that the positive change in income inequality results in a decrease in public debt over 4 years, after the introduction of the shock. In turn, a change in public debt results in a decrease in income inequality, at the time of the shock, followed by an increase in inequality in the medium term (2nd year to 4th year). A shock to inflation reduces the accumulation of debt in the short term (1st year), showing a positive and significant trend from the 2nd year onwards. In the results of the heterogeneous model, we see that the countries with the most statistically significant results are: Portugal, Spain, France, and Italy. In these cases, the results reflect statistical significance in the responses of the Gini Index, both to an inflation shock and to an increase in public debt. To date, this work is pioneer, as the relationship between these variables has never been empirically explored, namely in a context of time-series analysis.A vigente dissertação apresenta uma análise empírica sobre a relação entre desigualdade de rendimentos, inflação e divida pública, em 14 economias desenvolvidas. Para tal, estima-se um modelo Panel VAR onde se analisa a relação endógena entre as variáveis, para dados anuais em painel entre 1980 e 2019. Este estudo, ainda, inclui a utilização de um modelo heterogéneo, Global VAR, onde as especificações individuais dos países são tidas em conta. Em relação ao modelo homogéneo, conclui-se que a variação positiva de desigualdade de rendimentos resulta num decréscimo da divida pública durante 4 anos, após a introdução do choque. Por sua vez, uma variação na divida pública resulta num decréscimo da desigualdade de rendimentos, no momento do choque, seguido de um crescimento da desigualdade no médio-prazo (2º ano até ao 4º ano). Um choque na inflação diminui a acumulação da divida no curto-prazo (1º ano), apresentando uma tendência positiva e significativa a partir do 2º ano. Nos resultados do modelo heterogéneo, vemos que os países com resultados estatisticamente mais significativos são: Portugal, Espanha, França e Itália. Nestes casos, os resultados refletem significância estatística nas respostas do Índice de Gini, tanto num choque na inflação, como no aumento da divida pública. Até à data, este trabalho é pioneiro, visto que a relação entre estas variáveis nunca foi explorada empiricamente, nomeadamente num contexto de análise temporal.2022-01-26T15:09:10Z2021-12-21T00:00:00Z2021-12-212021-11info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/24332TID:202886522engOliveira, João Pedro Gonçalves Marques deinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:42:45Zoai:repositorio.iscte-iul.pt:10071/24332Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:20:03.293980Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach |
title |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach |
spellingShingle |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach Oliveira, João Pedro Gonçalves Marques de Gini coefficient Income inequality Dívida pública -- Public debt Inflation rate Panel VAR Global VAR Indice de Gini Desigualdade de rendimentos Inflação |
title_short |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach |
title_full |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach |
title_fullStr |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach |
title_full_unstemmed |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach |
title_sort |
The dynamic interdependencies between Income inequality, public debt, and inflation rate: a PVAR model approach |
author |
Oliveira, João Pedro Gonçalves Marques de |
author_facet |
Oliveira, João Pedro Gonçalves Marques de |
author_role |
author |
dc.contributor.author.fl_str_mv |
Oliveira, João Pedro Gonçalves Marques de |
dc.subject.por.fl_str_mv |
Gini coefficient Income inequality Dívida pública -- Public debt Inflation rate Panel VAR Global VAR Indice de Gini Desigualdade de rendimentos Inflação |
topic |
Gini coefficient Income inequality Dívida pública -- Public debt Inflation rate Panel VAR Global VAR Indice de Gini Desigualdade de rendimentos Inflação |
description |
The current dissertation presents an empirical analysis of the relationship between income inequality, inflation, and public debt in 14 developed economies. For this, a Panel VAR model is estimated for an annual balanced panel data between 1980 and 2019, where it is taken into account the endogenous relationship between the variables. This study also includes the use of a heterogeneous model, Global VAR, where individual country specifications are taken into account. In relation to the homogeneous model, it is concluded that the positive change in income inequality results in a decrease in public debt over 4 years, after the introduction of the shock. In turn, a change in public debt results in a decrease in income inequality, at the time of the shock, followed by an increase in inequality in the medium term (2nd year to 4th year). A shock to inflation reduces the accumulation of debt in the short term (1st year), showing a positive and significant trend from the 2nd year onwards. In the results of the heterogeneous model, we see that the countries with the most statistically significant results are: Portugal, Spain, France, and Italy. In these cases, the results reflect statistical significance in the responses of the Gini Index, both to an inflation shock and to an increase in public debt. To date, this work is pioneer, as the relationship between these variables has never been empirically explored, namely in a context of time-series analysis. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-12-21T00:00:00Z 2021-12-21 2021-11 2022-01-26T15:09:10Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/24332 TID:202886522 |
url |
http://hdl.handle.net/10071/24332 |
identifier_str_mv |
TID:202886522 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134760505704448 |