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Revisiting Fiscal Sustainability : Panel Cointegration and Structural Breaks in OECD Countries
Afonso, António - 2012
cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration …
Persistent link: https://www.econbiz.de/10013102099
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Budgetary and External Imbalances Relationship : A Panel Data Diagnostic
Afonso, António; Rault, Christophe - 2021
We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …
Persistent link: https://www.econbiz.de/10013316457
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Fiscal Stimulus in Times of High Debt : Reconsidering Multipliers and Twin Deficits
Nickel, Christiane - 2013
We investigate the impact of fiscal stimuli at different levels of the government debt-to-GDP-ratio for a sample of 17 European countries from 1970 to 2010. This is implemented in an interacted panel VAR framework in which all coefficient parameters are allowed to change continuously with the...
Persistent link: https://www.econbiz.de/10013087096
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The Determinants of Public Deficit Volatility
Agnello, Luca - 2009
This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using the system-GMM estimator for linear dynamic panel data models and a sample of 125 countries analyzed from 1980 to 2006, we show that higher public deficit volatility is typically...
Persistent link: https://www.econbiz.de/10012764289
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Learning About Fiscal Multipliers During the European Sovereign Debt Crisis : Evidence from a Quasi-Natural Experiment
Górnicka, Lucyna - 2018
Identifying fiscal multipliers is usually constrained by the absence of a counterfactual scenario. Our new data set allows overcoming this problem by making use of the fact that recommendations under the EU's excessive deficit procedure (EDP) provide both a baseline no-policy-change scenario and...
Persistent link: https://www.econbiz.de/10012917733
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Public debt and long-term interest rates: the case of Germany, Italy and the USA
Paesani, Paolo; Strauch, Rolf; Kremer, Manfred - 2006
The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the...
Persistent link: https://www.econbiz.de/10011604702
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Productivity shocks, budget deficits and the current account
Bussière, Matthieu; Fratzscher, Marcel; Müller, Gernot J. - 2005
Currently the U.S. is experiencing record budget and current account deficits, a phenomenon familiar from the "Twin Deficits" discussion of the 1980s. In contrast, during the 1990s productivity growth has been identified as the primary cause of the US current account deficit. We suggest a...
Persistent link: https://www.econbiz.de/10011604555
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Fiscal Data Revisions in Europe
Castro, Francisco de - 2011
Public deficit figures are subject to revisions, as most macroeconomic aggregates are. Nevertheless, in the case of Europe, the latter could be particularly worrisome given the role of fiscal data in the functioning of EU's multilateral surveillance rules. Adherence to such rules is judged upon...
Persistent link: https://www.econbiz.de/10013125205
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Fiscal Variables and Bond Spreads : Evidence from Eastern European Countries and Turkey
Nickel, Christiane - 2009
We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic...
Persistent link: https://www.econbiz.de/10013155821
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Should Quarterly Government Finance Statistics Be Used for Fiscal Surveillance in Europe?
Pedregal, Diego J. - 2008
We use a newly available dataset of euro area quarterly national accounts fiscal data and construct multivariate, state-space mixed-frequencies models for the government deficit, revenue and expenditure in order to assess its information content and its potential use for fiscal forecasting and...
Persistent link: https://www.econbiz.de/10012770591