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Identifying Fiscal Policy Shocks in Chile and Colombia

Restrepo, Jorge E. - 2012

Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a peso-for-peso ($/$) effect on output of a shock to public spending and to...

Persistent link: https://www.econbiz.de/10013110678

Noncausal Vector Autoregression

Lanne, Markku - 2009

In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an...

Persistent link: https://www.econbiz.de/10013157004

Inference for Impulse Responses Under Model Uncertainty

Lieb, Lenard - 2017

estimating a VAR model in levels - thus ignoring uncertainty regarding the true (unknown) cointegration rank. While it is well … known that using a wrong cointegration rank leads to invalid (bootstrap) inference, we demonstrate that even if the rank is … the treatment of the cointegration rank, and show how formally accounting for rank uncertainty can affect the conclusions …

Persistent link: https://www.econbiz.de/10012960344

Consumption and Fiscal Policy : U.K. Evidence from a Cointegration Approach on Substitution between Private and Public Spending on Goods and Services

Molana, Hassan - 1997

marginal utility of consumption of nondurable goods and services to the marginal utility of consumption of services from … long-run relationship between components of private consumption and public expenditure is then postulated. The application … of cointegration analysis to U.K. data supports the existence and uniqueness of such a long-run relationship, and …

Persistent link: https://www.econbiz.de/10014073816

Invalid proxies and volatility changes

Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...

Persistent link: https://www.econbiz.de/10014495778

Fiscal sustainability in the presence of structural breaks : does overconfidence on resource exports hurt government's ability to finance debt? ; evidence from Nigeria

Alhaji Jibrilla, Aliyu - In: Cogent economics & finance 4 (2016) 1, pp. 1-27

breaks, the study finds evidence of a cointegration relation between the government revenues and spending. The results did …

Persistent link: https://www.econbiz.de/10011487675

Assessing fiscal sustainability with panel unit root, cointegration, and granger causality tests : evidence from the broader groups of countries

Fir, Nejc - In: Naše gospodarstvo : NG 70 (2024) 3, pp. 1-20

balance, and the first differences of public debt. Part of this approach includes testing cointegration and causality among … tests, cointegration, and Granger causality test. This paper focuses on assessing the fiscal sustainability of four panels …

Persistent link: https://www.econbiz.de/10015130392

Topics in fiscal policy : evidence from a representative survey of the German population

Hayo, Bernd; Neumeier, Florian; Uhl, Matthias - 2014 - This version: 13 February 2014

of tax changes on consumption and savings; and 4) the effect of tax changes on labour market activities. …

Persistent link: https://www.econbiz.de/10010242079

Using a temporary indirect tax cut as a fiscal stimulus : evidence from the UK

Crossley, Thomas F.; Low, Hamish; Sleeman, Cath - 2014

This paper evaluates a novel form of fiscal stimulus: a temporary cut in the rate of Value Added Tax (VAT). In December 2008, the UK cut the standard rate of VAT by 2.5 percentage points for 13 months in an effort to stimulate spending. We estimate the effect of the cut on prices and spending...

Persistent link: https://www.econbiz.de/10010381367

Fiscal stimulus and the extensive margin : conference paper

Lewis, Vivien; Winkler, Roland - 2013

Using VAR analysis on US data, we show that unanticipated fiscal expansions boost private consumption and business … crowding-in of both consumption and entry can be generated only under very specific assumptions. In a static model with full … such that future profits are high enough to generate entry. However, consumption falls for conventional parameter values …

Persistent link: https://www.econbiz.de/10010339394