Effects of fiscal shocks in new EU members estimated from a SVARX model with debt feedback

Nadja Stanova

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyses in a VAR framework with debt feedback effects of fiscal policy over 1999q1-2013q4 in five Central and East European economies: Slovakia, Czech republic, Hungary, Slovenia and Lithuania. The results are compared to two alternative specifications, a model without debt feedback, and a model with debt within the linear VAR. Omitting the debt feedback would affect the magnitude and sign of the impulse response coefficients, especially those of GDP, government revenue and interest rate. Simulated out-of-sample debt paths are stabilised if debt feedback is included, but strongly explosive otherwise.

Keywords: fiscal policy; structural VAR; debt dynamics; endogenous debt feedback; impulse response functions; historical decomposition of times series; meta-analysis; CEE countries; new EU member states (search for similar items in EconPapers)
JEL-codes: C32 E37 E62 H63 (search for similar items in EconPapers)
Date: 2015-03
New Economics Papers: this item is included in nep-eec, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:63148

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