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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

Počet stran výsledku

5

Strana od-do

156-160

Název nakladatele

University of South Bohemia in České Budějovice, Faculty of Economics

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

5. 11. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000383863800025