Macroeconomic Shocks and the Government Debt Dynamics: An Updated Czech experience

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86096034" target="_blank" >RIV/61989100:27510/15:86096034 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Macroeconomic Shocks and the Government Debt Dynamics: An Updated Czech experience
Original language description
This paper studies how macroeconomic shocks affect the government debt dynamics in a small and highly open economy of the Czech Republic. Applying this modeling approach to the Czech data ranging from 2000 to 2014, the author derive some implications for fiscal policy. The modeling framework includes structural vector autoregression (SVAR) model with debt feedback, estimated using short-term identification restrictions, and non-linear specification of the government debt dynamics. The considered model variables are GDP, inflation, the effective interest rate on government debt, government revenues and expenditures, the exchange rate and government debt. The model estimation is carried out using the Bayesian approach. According to the results, allowing for a non-linear dynamics in the government debt to GDP ratio could imply stronger persistence and higher volatility in the responses of government indebtedness to macroeconomic shocks. Further, the fiscal stance of the Czech Republic seems to be most vulnerable to unexpected depreciation of the Czech crown, discretionary procyclical increases in government expenditures and decrease in government revenues.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 9th International scientific conference Inproforum : common challenges - different solutions -mutual dialogue
ISBN
978-80-7394-536-7
ISSN
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e-ISSN
neuvedeno
Number of pages
5
Pages from-to
156-160
Publisher name
University of South Bohemia in České Budějovice, Faculty of Economics
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Nov 5, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000383863800025

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