Ko, Jun-hyung; Morita, Hiroshi - In: Economics Bulletin 31 (2011) 3, pp. 2373-2387
, previous empirical works dealing with vector auto-regression (VAR) have not considered the effect of debt on fiscal policy and … the macro economy. In this paper, we incorporate debt dynamics in a VAR model in the spirit of Favero and Giavazzi (2007 …, 2011). The inclusion of the debt feedback rule in VAR can help overcome the misspecification problem and provide direction …
