Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/3292
Título: Fiscal developments and financial stress : a threshold VAR analysis
Autor: Afonso, António
Baxa, Jaromír
Slavík, Michal
Palavras-chave: Fiscal policy
Financial markets
Threshold VAR
Data: 2011
Editora: ISEG - Departamento de Economia
Citação: Afonso, António, Jaromír Baxa and Michal Slavík. 2011. "Fiscal developments and financial stress : a threshold VAR analysis". Instituto Superior de Economia e Gestão. DE Working papers; nº 11-2011/DE/UECE
Relatório da Série N.º: DE Working papers;11-2011/DE/UECE
Resumo: We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, we investigate the possibility of a non-linear propagation of fiscal developments according to different financial market stress regimes. More speciffically we employ a quarterly dataset, for the U.S., the U.K., Germany and Italy, for the period 1980:4-2009:4, encompassing macro, fiscal and financial variables. The results show that (i) the use of a nonlinear framework with regime switches is corroborated by nonlinearity tests; (ii) the responses of economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative effect on output growth and worsens the fiscal position; (iv) the nonlinearity in the response of output growth to a fiscal shock is mainly associated with different behaviour across regimes; (v) the size of the fiscal multipliers is higher than average in the last crisis.
URI: http://hdl.handle.net/10400.5/3292
ISSN: 0874-4548
Aparece nas colecções:DE - Documentos de trabalho / Working Papers
UECE - Documentos de Trabalho / UECE - Working Papers

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