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Title: A threshold multivariate model to explain fiscal multipliers with government debt
Author: Tariffi, Leonardo
Keywords: Deute públic
Anàlisi multivariable
Anàlisi funcional no lineal
Despesa pública
Public debt
Multivariate analysis
Nonlinear functional analysis
Public expenditures
Issue Date: Mar-2019
Publisher: Collegium of Economic Analysis at SGH Warsaw School of Economics
Abstract: This paper shows fiscal multipliers, considering levels of public debt with multivariate threshold models. Non-linear behavior in sovereign debt-to-GDP ratio time series determine the relationship between output and government expenditure. The debt-to-GDP ratio has been selected optimally as an endogenous threshold variable to evaluate non-linearities; it has been useful for identifying estimators in a multivariate threshold autoregressive model; and it has been an important tool to observe how the multiplier changes during good times and bad. Expansionary fiscal policies seem to be counterproductive in this framework. This result highlights the link between real and financial variables.
Note: Reproducció del document publicat a:
It is part of: Econometric Research in Finance, 2019, vol. 4, num. 1, p. 27-40
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ISSN: 2451-1935
Appears in Collections:Articles publicats en revistes (Economia)

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