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Fiscal Developments and Financial Stress : A Threshold VAR Analysis
Afonso, António - 2011
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 …
Persistent link: https://www.econbiz.de/10013128285
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Level, Slope, Curvature of the Sovereign Yield Curve, and Fiscal Behaviour
Afonso, António - 2010
We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the...
Persistent link: https://www.econbiz.de/10013135491