scholarly journals Time-Varying Employment Risks, Consumption Composition, and Fiscal Policy

2013 ◽  
Author(s):  
Makoto Nirei ◽  
Sanjib Sarker ◽  
Kazufumi Yamana
Keyword(s):  
Fiscal Policy ◽  
Time Varying

Optimal Fiscal Policy in an Open Economy with Time-Varying Elasticities

1986 ◽  
Vol 52 (3) ◽  
pp. 763
Author(s):  
Jagdeep S. Bhandari ◽  
Donald A. Hanson
Keyword(s):  
Fiscal Policy ◽  
Open Economy ◽  
Time Varying ◽  
Optimal Fiscal Policy

scholarly journals The sustainability of Swedish fiscal policy: a re-examination

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Arcade Ndoricimpa
Keyword(s):  
Fiscal Policy ◽  
Regression Model ◽  
Structural Changes ◽  
Cointegration Test ◽  
Time Varying ◽  
Fiscal Deficits ◽  
Slope Coefficient ◽  
Content Type ◽  
Multiple Structural Changes ◽  
Sustainability Of Fiscal Policy

PurposeThis study reexamines the sustainability of fiscal policy in Sweden.Design/methodology/approachTo test the sustainability of fiscal policy, two approaches are used; the methodology of Kejriwal and Perron (2010), testing for multiple structural changes in a cointegrated regression model and time-varying cointegration test of Bierens and Martins (2010), and Martins (2015).FindingsUsing the first approach of testing for multiple structural changes in a cointegrated regression model, the results indicate that government spending and revenue are cointegrated with two breaks. An estimation of a two-break long-run model shows that the slope coefficient increases from 0.678 to 0.892 from the first to the second regime, implying that fiscal deficits were weakly sustainable in the first two regimes, from 1800 to 1943, and from 1944 to 1974. Further, results from time-varying cointegration test indicate that cointegration between spending and revenue in Sweden is time-varying. Fiscal deficits were found to be unsustainable for the periods 1801–1811, 1831–1838, 1853–1860 , 1872–1882, 1897–1902, 1929–1940 and 1976–1982 and weakly sustainable over the rest of the study period.Research limitations/implicationsA number of implications arise from this study: (1) Accounting for breaks in cointegration analysis and in the estimation of the level relationship between spending and revenue is very important because ignoring breaks may lead to an overestimated slope coefficient and hence a bias on the magnitude of fiscal deficit sustainability. (2) In testing for cointegration between spending and revenue, assuming a constant cointegrating slope when it is actually time-varying can also be misleading because deficits can be sustainable for a period of time and unsustainable over another period.Originality/valueThe contribution of this study is three-fold; first, the study uses a long series of annual data spanning over a period of two centuries, from 1800 to 2011. Second, because of the importance of structural change in economics, to examine the existence of a level relationship between spending and revenue, the study uses the methodology of Kejriwal and Perron (2010) to test for multiple structural changes in a cointegrated regression model, as well as time-varying cointegration of Bierens and Martins (2010) and Martins (2015).

scholarly journals A time-varying approach to analysing fiscal policy and asset prices in South Africa

2014 ◽  
Vol 6 (1) ◽  
pp. 46-63 ◽  
Author(s):  
Rangan Gupta ◽  
Charl Jooste ◽  
Kanyane Matlou
Keyword(s):  
Fiscal Policy ◽  
Stock Prices ◽  
Asset Prices ◽  
Marked Change ◽  
Var Model ◽  
Time Varying ◽  
Content Type ◽  
Vector Autoregressive ◽  
Time Varying Parameter ◽  
The Impact

Purpose – This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion. Design/methodology/approach – Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks. Findings – The results seem to suggest that at least two regimes exist in which expansionary fiscal policy affected asset prices. From the 1970s until 1990, fiscal expansions were associated with declining house and slightly increased stock prices. The majority of the first decade of 2000 had asset prices increasing when fiscal policy expanded. On the other hand, increasing asset prices reduced deficits for the majority of the sample period, while the recent financial crises had a marked change on the way asset prices affect fiscal policy. Originality/value – This is the first attempt in the literature of fiscal policy and asset prices to use a TVP-VAR model to not only analyse the impact of fiscal policy on asset prices, but also the feedback from asset prices to fiscal policy over time.

scholarly journals 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets

2020 ◽  
Author(s):  
Hardik Marfatia ◽  
Rangan Gupta ◽  
Stephen M. Miller
Keyword(s):  
Fiscal Policy ◽  
Financial Markets ◽  
Time Varying

Quantitative Effects of Fiscal Foresight

2012 ◽  
Vol 4 (2) ◽  
pp. 115-144 ◽  
Author(s):  
Eric M Leeper ◽  
Alexander W Richter ◽  
Todd B Walker
Keyword(s):  
Fiscal Policy ◽  
Time Variation ◽  
Government Spending ◽  
Bond Market ◽  
Reduced Form ◽  
Macroeconomic Model ◽  
Time Varying ◽  
Municipal Bond ◽  
Survey Of Professional Forecasters

Legislative and implementation lags imply that substantial time evolves between when news arrives about fiscal changes and when the changes actually take place—time when households and firms can adjust their behavior. We identify two types of fiscal news—government spending using the Survey of Professional Forecasters and taxes using the municipal bond market. The main contribution of the paper is a mapping from reduced-form estimates of news into a DSGE framework. We find that news about fiscal policy is a time-varying process and show that ignoring the time variation can have important consequences in a conventional macroeconomic model. (JEL E12, E62, H20, H30, H62)

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