Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/133008
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: https://doi.org/10.33119/ERFIN.2019.4.1.2 |
It is part of: | Econometric Research in Finance, 2019, vol. 4, num. 1, p. 27-40 |
URI: | http://hdl.handle.net/2445/133008 |
Related resource: | https://doi.org/10.33119/ERFIN.2019.4.1.2 |
ISSN: | 2451-1935 |
Appears in Collections: | Articles publicats en revistes (Economia) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
689973.pdf | 360.8 kB | Adobe PDF | View/Open |
This item is licensed under a
Creative Commons License