Fiscal developments and financial stress: a threshold VAR analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10363588" target="_blank" >RIV/00216208:11230/18:10363588 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/18:00488303

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s00181-016-1210-5" target="_blank" >http://dx.doi.org/10.1007/s00181-016-1210-5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s00181-016-1210-5" target="_blank" >10.1007/s00181-016-1210-5</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Fiscal developments and financial stress: a threshold VAR analysis

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Fiscal developments and financial stress: a threshold VAR analysis

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Empirical Economics

ISSN

0377-7332

e-ISSN

—

Svazek periodika

54

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

AT - Rakouská republika

Počet stran výsledku

29

Strana od-do

395-423

Kód UT WoS článku

000425952000004

EID výsledku v databázi Scopus

2-s2.0-85008220563