Fiscal developments and financial stress: a threshold VAR analysis

Afonso, António; Baxa, Jaromír; Slavík, Michal

doi:10.1007/s00181-016-1210-5

Cited by 88 publications

(66 citation statements)

References 52 publications

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“…As a consequence, impulse responses are nonlinear in the full model, but linear within regimes 1 . Following Afonso et al (2011), who also use a TVAR in the context of fiscal policy, the TVAR model with sign nonlinearity can be written as follows:…”

Section: Econometric Frameworkmentioning

confidence: 99%

Tax shocks with high and low uncertainty

Bertolotti

Marcellino

2019

J of Applied Econometrics

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Summary We assess whether the effects of fiscal policy depend on the extent of uncertainty in the economy. Focusing on tax shocks, identified by the narrative series by Romer and Romer (American Economic Review, 2010, 100(3), 763‐801), and various measures of uncertainty, we use a Threshold VAR model to allow for dependence of the effects of the tax shocks on both the level of uncertainty and the sign of the shock. We find that the economy responds more positively to tax cuts during periods of low uncertainty, while, in response to tax increases, the response of main aggregates is more negative in more uncertain times. We argue that controlling for monetary policy in fiscal VARs is important to avoid omitted variable bias. We interpret our empirical evidence in light of existing theoretical contributions.

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Section: Econometric Frameworkmentioning

confidence: 99%

Tax shocks with high and low uncertainty

Bertolotti

Marcellino

2019

J of Applied Econometrics

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“…A slightly different approach used Ferraresi et al (2014) who employed TVAR to assess how the fi scal policy effects differ depending on state of the credit markets. Or the work of Afonso et al (2011), where authors investigated how the stress in fi nancial markets affect fi scal policy in United States, United Kingdom, Germany and Italy. Benčík (2014) used modifi ed version of Auerbach and Gorodnichenko (2012) smooth transition VAR model to calculate regime fi scal multipliers for recession and expansion in V4 countries.…”

Section: Overview Of Literaturementioning

confidence: 99%

Effects of fiscal policy Shocks in CE3 countries (TVAR Approach)

Mirdala¹,

Kameník²

2017

E+M

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“…As a proxy for the fiscal stance the model includes government expenditures. Similar to Afonso et al (2011) it is assumed that all reactions of fiscal policy within each quarter are purely automatic because of the presence of long decision and implementation lags. Blanchard and Perotti (2002) stated that they could not identify any automatic feedback from economic activity to government purchases of goods and services.…”

Section: Identification Of Svarsmentioning

confidence: 99%

On the Exposure of the BRIC Countries to Global Economic Shocks

2016

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Fiscal developments and financial stress: a threshold VAR analysis

Cited by 88 publications

References 52 publications

Tax shocks with high and low uncertainty

Tax shocks with high and low uncertainty

Effects of fiscal policy Shocks in CE3 countries (TVAR Approach)

On the Exposure of the BRIC Countries to Global Economic Shocks

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