Business cycle effects of fiscal policy - Empirical evidence from Germany:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin
dissertation.de
2003
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 158 S. graph. Darst. |
| ISBN: | 3898255727 |
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| 100 | 1 | |a Höppner, Florian |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Business cycle effects of fiscal policy - Empirical evidence from Germany |c vorgelegt von Florian Höppner |
| 264 | 1 | |a Berlin |b dissertation.de |c 2003 | |
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Record in the Search Index
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| adam_text | Contents
Acknowledgements i
1 Introduction and Overview 1
2 The Empirical Analysis of Fiscal Policy 7
2.1 Instruments of Fiscal Policy 7
2.2 The Identification of Fiscal Policy 9
2.2.1 A Historical Perspective on Identification 10
2.2.2 Simultaneous Equation Models 14
2.2.3 Structural Vector Autoregressive Models (SVAR) . . 17
2.2.4 The Narrative Approach 23
2.3 Linear vs. Non Linear Models 24
3 Discretionary Fiscal Policy 27
3.1 Survey of the Theoretical Literature 27
3.1.1 The Transmission Channels of Fiscal Policy 28
3.1.2 Fiscal Policy in General Equilibrium 31
3.2 Empirical Evidence 37
3.2.1 Reduced Form Studies of Fiscal Policy 37
3.2.2 SVAR Studies of Fiscal Policy 40
3.2.3 Narrative Approach Studies of Fiscal Policy 42
3.3 A SVAR Analysis of the Effects of Fiscal Policy 44
3.3.1 The VAR Framework 45
iii
iv CONTENTS
3.3.2 Model Specification 46
3.3.3 Response of the Economy to Fiscal Policy Shocks . . 56
3.3.4 Identifying Fiscal Policy in a SVAR: Some Qualifications 64
3.3.5 Discussion of the Results 66
4 Automatic Stabilisers 71
4.1 The Concept of Automatic Stabilisers 72
4.2 A Perspective from the Literature 73
4.3 Automatic Stabilisers in the SVAR Analysis 76
4.3.1 The Response of the Economy to Fiscal Policy Shocks 77
4.3.2 Automatic Stabilisers in the SVAR Analysis 79
4.4 The Effectiveness of Automatic Stabilisers 86
4.4.1 Empirical Methodology: The TVC VAR 87
4.4.2 The Analysis of Automatic Stabilisers 90
5 Non Linear Effects of Fiscal Policy 101
5.1 A Theoretical Perspective 102
5.2 Empirical Evidence 105
5.3 A Markov Switching Analysis 106
5.3.1 The Consumption Function 108
5.3.2 Markov Switching 110
5.3.3 Constant versus Time Varying Transition Probabilities 113
5.3.4 Data and Estimation 114
5.3.5 Results 115
6 Concluding Remarks 129
A The Data 133
B Supplements to the SVAR Analysis 137
B.I Reduced Form Coefficients 137
B.2 Impulse Responses 140
List of Figures
3.1 CUSUM and CUSUM of Squares Test 51
3.2 Recursive Chow Test, Model 1 53
3.3 Recursive Chow Test, Models 2 and 3 53
3.4 Impulse Responses, Model 1 58
3.5 Impulse Responses, Model 2 61
3.6 Impulse Responses, Model 3 63
4.1 Impulse Responses, Model 1 with Income Taxes ... 78
4.2 The Adjusted Response of GDP 84
4.3 The Effectiveness of Automatic Stabilisers 85
4.4 Impulse Response Functions, Linear SVAR 92
4.5 Time Varying Response of Taxes to GDP 95
4.6 IRF of Taxes to GDP, 1975 2000 95
4.7 Time Varying Response of GDP to GDP 97
4.8 IRF of GDP to GDP, 1975 2000 97
4.9 Adjusted Time Varying Response of Taxes to GDP . 99
4.10 Adjusted IRF of Taxes to GDP, 1975 2000 99
5.1 Constant Transition Probabilities 118
5.2 Time Varying Transition Probabilities 122
5.3 Illustration of Identified Episodes 126
5.4 Budget Deficit in Germany 127
v
vi LIST OF FIGURES
A.I Plot of Time Series 136
B.I Impulse Responses, Model 1 (VECM) 141
B.2 Complete Impulse Responses, Model 2 142
B.3 Complete Impulse Responses, Model 3 144
List of Tables
3.1 The Three SVAR Models 46
3.2 Unit Root Tests 47
3.3 Johansen Trace Test 48
3.4 Structural Coefficients, Model 1 57
3.5 Structural Coefficients, Model 2 60
3.6 Structural Coefficients, Model 3 62
5.1 Expansionary Fiscal Consolidations 107
5.2 Coefficients, Constant Transition Probabilities .... 117
5.3 Coefficients, Time Varying Transition Probabilities . 121
A.I The Time Series Used 134
B.I Reduced Form Coefficients of SVAR, Model 1 .... 137
B.2 Reduced Form Coefficients of SVAR, Model 2 .... 138
B.3 Reduced Form Coefficients of SVAR, Model 3 .... 139
vii
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| discipline | Wirtschaftswissenschaften |
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| spelling | Höppner, Florian Verfasser aut Business cycle effects of fiscal policy - Empirical evidence from Germany vorgelegt von Florian Höppner Berlin dissertation.de 2003 VIII, 158 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Bonn, Univ., Diss., 2003 Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd rswk-swf Konjunkturschwankung (DE-588)4114270-6 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Fiskalpolitik (DE-588)4071234-5 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Fiskalpolitik (DE-588)4071234-5 s Konjunkturschwankung (DE-588)4114270-6 s DE-604 Makroökonomisches Modell (DE-588)4074486-3 s Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010258635&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Höppner, Florian Business cycle effects of fiscal policy - Empirical evidence from Germany Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd Konjunkturschwankung (DE-588)4114270-6 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Fiskalpolitik (DE-588)4071234-5 gnd |
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| title | Business cycle effects of fiscal policy - Empirical evidence from Germany |
| title_auth | Business cycle effects of fiscal policy - Empirical evidence from Germany |
| title_exact_search | Business cycle effects of fiscal policy - Empirical evidence from Germany |
| title_full | Business cycle effects of fiscal policy - Empirical evidence from Germany vorgelegt von Florian Höppner |
| title_fullStr | Business cycle effects of fiscal policy - Empirical evidence from Germany vorgelegt von Florian Höppner |
| title_full_unstemmed | Business cycle effects of fiscal policy - Empirical evidence from Germany vorgelegt von Florian Höppner |
| title_short | Business cycle effects of fiscal policy - Empirical evidence from Germany |
| title_sort | business cycle effects of fiscal policy empirical evidence from germany |
| topic | Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd Konjunkturschwankung (DE-588)4114270-6 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Fiskalpolitik (DE-588)4071234-5 gnd |
| topic_facet | Strukturelles vektor-autoregressives Modell Konjunkturschwankung Makroökonomisches Modell Fiskalpolitik Deutschland Hochschulschrift |
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