Fiscal developments and financial stress: a threshold VAR analysis
Autor(a) principal: | |
---|---|
Data de Publicação: | 2018 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/25521 |
Resumo: | 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. |
id |
RCAP_d2eae8fc00cafb82d730bbe87acab02f |
---|---|
oai_identifier_str |
oai:www.repository.utl.pt:10400.5/25521 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Fiscal developments and financial stress: a threshold VAR analysisFiscal PolicyFinancial MarketsThreshold VARWe 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.SpringerRepositório da Universidade de LisboaAfonso, AntónioBaxa, JaromírSlavík, Micha2022-09-19T08:44:19Z20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25521engAfonso, Antonio; Jaromir Baxa and Michal Slavík. (2018). "Fiscal developments and financial stress: a threshold VAR analysis". Empirical Economics, Vol. 54, No.2: pp. 395-423.10.1007/s00181-016-1210-5info: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:RCAAP2023-03-06T14:55:05Zoai:www.repository.utl.pt:10400.5/25521Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:22.487680Repositório 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 |
Fiscal developments and financial stress: a threshold VAR analysis |
title |
Fiscal developments and financial stress: a threshold VAR analysis |
spellingShingle |
Fiscal developments and financial stress: a threshold VAR analysis Afonso, António Fiscal Policy Financial Markets Threshold VAR |
title_short |
Fiscal developments and financial stress: a threshold VAR analysis |
title_full |
Fiscal developments and financial stress: a threshold VAR analysis |
title_fullStr |
Fiscal developments and financial stress: a threshold VAR analysis |
title_full_unstemmed |
Fiscal developments and financial stress: a threshold VAR analysis |
title_sort |
Fiscal developments and financial stress: a threshold VAR analysis |
author |
Afonso, António |
author_facet |
Afonso, António Baxa, Jaromír Slavík, Micha |
author_role |
author |
author2 |
Baxa, Jaromír Slavík, Micha |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Afonso, António Baxa, Jaromír Slavík, Micha |
dc.subject.por.fl_str_mv |
Fiscal Policy Financial Markets Threshold VAR |
topic |
Fiscal Policy Financial Markets Threshold VAR |
description |
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. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018 2018-01-01T00:00:00Z 2022-09-19T08:44:19Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/25521 |
url |
http://hdl.handle.net/10400.5/25521 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Afonso, Antonio; Jaromir Baxa and Michal Slavík. (2018). "Fiscal developments and financial stress: a threshold VAR analysis". Empirical Economics, Vol. 54, No.2: pp. 395-423. 10.1007/s00181-016-1210-5 |
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.publisher.none.fl_str_mv |
Springer |
publisher.none.fl_str_mv |
Springer |
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 |
repository.mail.fl_str_mv |
|
_version_ |
1799131188453965824 |