The Effects of Fiscal Policy Shocks on Aggregate Demand and Economic Growth in Kenya: A VAR Analysis

Tiony, Obed Kipkemboi

doi:10.4236/me.2023.148056

Cited by 3 publications

(1 citation statement)

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“…Second, fiscal policy dynamics: Economic theories on fiscal policy dynamics emphasize the importance of understanding how government spending and taxation policies evolve in response to economic conditions (Tiony 2023). The time-frequency framework enables the examination of dynamic changes in fiscal variables over various time horizons.…”

Section: Context Of the Analysismentioning

confidence: 99%

Analyzing Fiscal Sustainability in Latin American Countries: A Time–Frequency Perspective

Marín-Rodríguez,

Gonzalez-Ruiz,

Peña

2024

Economies

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This study examines fiscal sustainability in Latin American countries from a unique time–frequency perspective, focusing on Brazil, Chile, Colombia, Peru, and Mexico from 1997 to 2022. Using wavelet coherence analysis, it uncovers dynamic relationships between government revenue and expenditure over different time horizons, revealing varying causality patterns across countries and periods. The findings underscore the importance of balanced fiscal planning and resource allocation to ensure fiscal sustainability and support economic growth. This research contributes to a deeper understanding of Latin America’s economic landscape and provides valuable insights for policymakers, economists, and stakeholders concerned with the region’s economic stability and development.

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Section: Context Of the Analysismentioning

confidence: 99%

Analyzing Fiscal Sustainability in Latin American Countries: A Time–Frequency Perspective

Marín-Rodríguez,

Gonzalez-Ruiz,

Peña

2024

Economies

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Moderating the Effect of Institutional Quality on the Fiscal Policy and Economic Growth Nexus: What Evidence Exists in Sub-Saharan Africa?

Efayena,

Olele

2024

J Knowl Econ

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Application of Vector Autoregressive (VAR) Model on the Interaction of Inflation Rates and Public Debt in Kenya from 2011 to 2021

Maina,

Muriungi,

Gitonga

2024

AJTAS

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This study examines the relationship between public debt and inflation rates in Kenya from 2011 to 2021 using the Vector Autoregressive (VAR) model. Despite the models likeAutoregressive Integrated Moving Average (ARIMA), Seasonal Autoregressive Integrated Moving Average (SARIMA), and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) gaining popularity in time series analysis, the Vector Autoregressive model, being multivariate, is relevant in analyzing two or more time series variables simultaneously, benefiting from the bi-directional causality and providing a better outlook into the flow of the dynamic interaction between inflation and public debt. The main objectives are modelling the Vector Autoregressive model and forecasting future trends to provide insights for policymakers. Additionally, the methodological approach comprises descriptive statistics, stationarity tests, normality tests, and the Vector Autoregressive model. Descriptive statistics reveal significant variations, with public debt increasing from 1.35 trillion KES to a peak of 8.2 trillion KES, and inflation rates ranging from 3.2% to 19.72% for the period from 2011 to 2021. The Augmented Dickey-Fuller (ADF) test confirmed that both time series were stationary at their levels. The Vector Autoregressive model, chosen for its ability to analyze dynamic interactions, indicated a significant relationship between the variables, with inflation showing strong self-persistence (coefficient of 0.8731, p < 2 × 10−16), though public debt did not significantly impact inflation in the model (p = 0.5592). The models R-squared values, 95.82% for public debt and 84.74% for inflation, highlight its strong explanatory power. Moreover, findings indicate that while public debt does not directly affect inflation within the model lag structure, inflation exhibits a strong self-persistence. The model R-squared values are 95.82% for public debt and 84.74% for inflation, demonstrating high explanatory power. Recommendations include the implementation of a robust debt management strategy, emphasizing sustainable borrowing and enhancing revenue generation to mitigate inflationary pressures. Further research is recommended to explore the broader macroeconomic impacts of public debt on economic growth and employment in Kenya.

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The Effects of Fiscal Policy Shocks on Aggregate Demand and Economic Growth in Kenya: A VAR Analysis

Cited by 3 publications

References 50 publications

Analyzing Fiscal Sustainability in Latin American Countries: A Time–Frequency Perspective

Analyzing Fiscal Sustainability in Latin American Countries: A Time–Frequency Perspective

Moderating the Effect of Institutional Quality on the Fiscal Policy and Economic Growth Nexus: What Evidence Exists in Sub-Saharan Africa?

Application of Vector Autoregressive (VAR) Model on the Interaction of Inflation Rates and Public Debt in Kenya from 2011 to 2021

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