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The economic effects of exogenous fiscal shocks in Spain: a SVAR approach

de Castro Fernández, Francisco; Hernández de Cos, Pablo - 2006

This paper estimates the effects of exogenous fiscal policy shocks in Spain in a VAR framework. Government expenditure … of fiscal policy in Spain since the mid-nineties points to the conclusion that the consolidation process does not seem to …

Persistent link: https://www.econbiz.de/10011604693

Debt and the effects of fiscal policy

Favero, Carlo; Giavazzi, Francesco - 2007

A fiscal shock due to a shift in taxes or in government spending will, at some point in time, constrain the future path … the effects of fiscal shocks, keeping track of the debt dynamics that arise following a fiscal shock and allowing for the …

Persistent link: https://www.econbiz.de/10010280860

What are the effects of fiscal policy shocks? A VAR-based comparative analysis

Caldara, Dario; Kamps, Christophe - 2008

The empirical literature using vector autoregressive models to assess the effects of fiscal policy shocks strongly disagrees on even the qualitative response of key macroeconomic variables to government spending and tax shocks. We provide new evidence for the U.S. over the period 1955-2006. We...

Persistent link: https://www.econbiz.de/10011604923

Is the Deficit under Control?

Bonin, Holger; Abio, Gemma; Berenguer, Eduardo; Gil, Joan; … - 2001

government budget, as social insurance in Spain is not actuarially fair. Finally, we also assess the impact of a decline in …

Persistent link: https://www.econbiz.de/10010262513

Estimating multi-country VAR models

Canova, Fabio; Ciccarelli, Matteo - 2006

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...

Persistent link: https://www.econbiz.de/10011604649

A terminological note on cyclotomic polynomials and Blaschke matrices

Offick, Sven; Wohltmann, Hans-Werner - 2012

In a recent paper, Mertens and Ravn (2010) study the effects of anticipated fiscal policy shocks in a structural vector autoregressive model. The authors maintain that (i) the lag polynomial associated with news shocks is a cyclotomic polynomial and (ii) the matrix B(L) which transforms a...

Persistent link: https://www.econbiz.de/10010310729

Does anticipation of government spending matter? Evidence from an expectation augmented VAR

Tenhofen, Jörn; Wolff, Guntram B. - 2007

consumption response. We investigate in a SVAR whether anticipation of the fiscal shock reverses the sign of this dynamic response … the US that consumption falls in reaction to an expenditure shock once the model allows for one-period-ahead anticipation … of this shock. Modelling anticipation of fiscal shocks is thus crucial to correctly capture their macroeconomic effects …

Persistent link: https://www.econbiz.de/10010295850

Exchange Rate Regime, Fiscal Foresight and the Effectiveness of Fiscal Policy in a Small Open Economy

Virkola, Tuomo - 2014

This paper studies the effects of discretionary fiscal policy shocks under different exchange rate regimes within a structural vector autoregressive (SVAR) model. We first suggest that by estimating the effects of fiscal policy shocks in two structurally similar small open economies that have...

Persistent link: https://www.econbiz.de/10012037640

The effects of fiscal policy in a small open economy with a fixed exchange rate: The case of Denmark

Ravn, Søren Hove; Spange, Morten - 2012

drops to 0.6 one year after the shock. We further demonstrate that the fiscal multiplier is far from constant over time …

Persistent link: https://www.econbiz.de/10010321199

Fiscal policy, housing and stock prices

Afonso, António; Sousa, Ricardo M. - 2009

This paper investigates the link between fiscal policy shocks and movements in asset markets using a Fully Simultaneous System approach in a Bayesian framework. Building on the works of Blanchard and Perotti (2002), Leeper and Zha (2003), and Sims and Zha (1999, 2006), the empirical evidence for...

Persistent link: https://www.econbiz.de/10011605036