Evaluating policy feedback rules using the joint density function of a stochastic model

Barrell, Ray; Hall, Stephen G.; Hurst, Ian

doi:10.1016/j.econlet.2006.03.035

Cited by 19 publications

(15 citation statements)

References 13 publications

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“…The NiGEM model Barrell, Hall and Hurst (2006) and inflation settles at its target in all simulations. Some of the key features of the model that determine the outturns of the simulation studies are detailed further below.…”

Section: Appendixmentioning

confidence: 87%

Fiscal multipliers and prospects for consolidation

Barrell

Holland

Hurst

2012

OECD Journal: Economic Studies

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for helpful comments on earlier drafts and are indebted to Sveinbjörn Blöndal and Anne Épaulard for comments and suggestions. The views expressed in this article are those of the authors and do not necessarily reflect those of the OECD or the governments of its member countries. This article looks at various aspects of fiscal consolidation in 18 OECD economies.The prospects for fiscal consolidation depend upon the problems a country may face with its debt stock, the political will to deal with these problems and on the costs of consolidation. These costs are a function of the impacts of fiscal policy on the economy, which is the focus of this study. The analysis is based on a series of simulations using the National Institute Global Econometric Model, NiGEM. Fiscal multipliers differ across countries because the structure and behaviour of economies differ. They also differ within countries, depending on factors such as the fiscal instrument implemented, the policy response to fiscal innovations, and expectation formation by economic agents. The purpose of this study is to allow an assessment of the likely impact on the economy and on the fiscal position of consolidation programmes. We decompose the key factors that determine the size of the multiplier by changing them one at a time. Even under a specified set of assumptions, the outturn for the budget balance retains a high degree of uncertainty. We illustrate this uncertainty by calibrating probability bounds around projected debt profiles. This can allow an assessment of the probability of achieving specified fiscal targets, such as those set out in the European Union's new Fiscal Compact. JEL classification codes: E17; E37; E62Key words: Large scale structural macro models; fiscal multipliers; rational expectations; budget consolidation in the OECD * 102 where e t is the bilateral exchange rate at time t (defined as domestic currency per unit of foreign currency), int t is the short-term nominal interest rate at home set in line with a policy rule, int t * is the interest rate abroad and rp t is the exchange rate risk premium.

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Section: Appendixmentioning

confidence: 87%

Fiscal multipliers and prospects for consolidation

Barrell

Holland

Hurst

2012

OECD Journal: Economic Studies

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“…The change in the population is implemented exogenously, ignoring feedback from the macroeconomic implications of migration to the size or direction of migration. NiGEM is used with all its defaults in place, including forward‐looking financial markets, policy feedbacks maintaining budget deficit targets (Barrell and Sefton, 1997) and inflation targets (Barrell et al. , 2006).…”

Section: Illustrations Of Macroeconomic Impactsmentioning

confidence: 99%

EU Enlargement and Migration: Assessing the Macroeconomic Impacts

Barrell

FitzGerald

Riley

2010

J of Common Market Studies

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Enlargement of the European Union in May 2004 was followed by an increase in migration from the poorest of the central and eastern European New Member States (NMS) to other Member States. We consider the macroeconomic impacts of these migration flows across Europe, highlighting impacts in receiving and sending countries. Copyright (c) 2010 National Institute of Economic and Social Research. Journal compilation (c) 2010 Blackwell Publishing Ltd.

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“…We have assumed that the authorities in the US and Europe undertake a sophisticated form of inflation targeting that includes a reaction to the price level (see Barrell, Hall and Hurst (2006) for a discussion of these rules).…”

Section: Box a The Impacts Of Lower Oil Prices On Global Inflationmentioning

confidence: 99%

The World Economy

2006

Natl. Inst. econ. rev.

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While at a global level the outlook for growth remains strong, with GDP growth expected to exceed 4.5 per cent per annum until 2008, we have started to see some shift in the regional composition of growth, with a more dominant role for the Euro Area and Japan and weaker prospects in the US. Oil producing economies are also expected to record strong growth over the next few years, although the recent drop in the oil price has dampened the outlook for these economies slightly. China will continue to expand at a rapid pace, albeit with some easing from the exceptional growth in the first half of this year. Euro Area growth outpaced both the US and Japan in the second quarter of 2006, for the first time since 2001. This acceleration in Euro Area growth was dominated by private sector investment, supported by strong corporate profitability, rising capacity utilisation and low real interest rates.

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Evaluating policy feedback rules using the joint density function of a stochastic model

Cited by 19 publications

References 13 publications

Fiscal multipliers and prospects for consolidation

Fiscal multipliers and prospects for consolidation

EU Enlargement and Migration: Assessing the Macroeconomic Impacts

The World Economy

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