Cointegration tests of sustainability of public debt:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | II, 112 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | Contents
Introduction 1
1 The theoretical framework of the sustainability hypothesis
1.1 Introduction 7
1.2 The dynamics of public debt 8
1.3 The intertemporal budget constraint 10
The sustainability condition within the stochastic general 13
equilibrium model
The sustainability condition within the fiscal theory of the 16
price level
2 Critical survey of tests of the sustainability hypothesis
2.1 Introduction 19
2.2 Tests based on the assumption of a constant expected interest 20
rate
2.2.1 Tests for stationarity of budget deficit as a test of the 20
sustainability hypothesis
2.2.2 Tests for cointegration between budget deficit and 23
public debt as a test of the sustainability hypothesis
2.3 Tests based on the assumption of a time varying expected 24
interest rate
2.3.1 Tests for stationarity of the discounted public debt as 25
a test of the sustainability hypothesis
2.3.2 Tests for cointegration between revenue and 27
expenditure as a test of the sustainability hypothesis
3 The sustainability test for the Swiss federal government
3.1 Introduction 30
3.2 Data, empirical methodology, and results 32
3.2.1 Results of the unit root and stationarity tests 33
3.2.2 Results of the cointegration tests 37
3.2.2.1 Results of two step cointegration test 37
3.2.2.2 Results of cointegration test with structural 39
break
3.2.2.3 Results of multivariate cointegration test 42
3.3 Determinants of the Swiss federal budget deficit 43
3.4 Concluding remarks 47
4 The causality between Swiss federal government revenue and expenditure
4.1 Introduction 49
4.2 Data, empirical methodology, and results 51
4.2.1 Results of the unit root and stationarity tests 52
4.2.2 Results of the cointegration tests 55
4.2.2.1 Results of the multivariate cointegration test 55
4.2.2.2 Results of cointegration test with structural 60
break
4.3 Testing for causality within the error correction framework 62
4.4 Concluding remarks 67
5 The sustainability test in the panel of rich OECD countries
5.1 Introduction 68
5.2 The panel cointegration test of the sustainability hypothesis 70
5.3 Data, empirical methodology, and results 73
5.3.1 Results of the unit root and stationariry tests within 74
the panel data framework
5.3.2 Results of the panel cointegration tests 75
5.3.2.1 Results of the panel cointegration test with 76
structural breaks
5.3.2.2 Results of the conventional panel 77
cointegration test
5.4 Concluding remarks 79
6 The sustainability test in the panel of ED member countries
6.1 Introduction 81
6.2 The panel cointegration test of the sustainability hypothesis 83
6.3 Data, empirical methodology, and results 85
6.3.1 Results of the unit root and stationarity tests within 85
the panel data framework
6.3.2 Results of the panel cointegration tests 87
6.3.2.1 Results of the conventional panel 87
cointegration test
6.3.2.2 Results of the panel cointegration test with 90
structural break
6.4 Concluding remarks 92
7 Conclusions 94
Bibliography 99
Appendix 112
Appendix
A.I Data and sources for Swiss federal government over the period from 1900 to
2002
B. 1 Data and sources for fourteen EU member countries over the period from 1970
to 2004
List of Figures
3.1 Values of the Chi squared test for parameter stability in the 40
cointegrating vector
3.2 Test statistics of the ADF(t) test for cointegration between revenue 41
and expenditure
4.1 Test statistics of the ADF(x) test for cointegration between 61
expenditure and GNP
4.2 Test statistics of the ADF(t) test for cointegration between revenue 61
and GNP
List of Tables
3.1 Tests for unit root and stationarity 34
3.2 Unit root tests with a structural break in 1943 36
3.3 Results of the Engle Granger cointegration test 38
3.4 Results of the Johansen cointegration test 43
4.1 Tests for unit root and stationarity 53
4.2 Unit root tests with structural breaks 54
4.3 Results of the cointegration tests 57
4.4 Results of Maximuum Likelihood (ML ) and Ordinary Least 59
Squares (OLS ) estimates of normalized cointegrating vectors
4.5 Error correction model for three variable systems consisting of 65
revenue, expenditure and GNP
5.1 Panel stationarity and panel cointegration tests 74
5.2 Estimated breaks in cointegration relationship 76
5.3 Panel cointegraton slope estimates 78
6.1 Panel unit root and stationarity tests 86
6.2 Panel cointegration slope estimates 88
6.3 Panel cointegration tests 89
6.4 Panel cointegration tests with structural break 91
|
| adam_txt |
Contents
Introduction 1
1 The theoretical framework of the sustainability hypothesis
1.1 Introduction 7
1.2 The dynamics of public debt 8
1.3 The intertemporal budget constraint 10
The sustainability condition within the stochastic general 13
equilibrium model
The sustainability condition within the fiscal theory of the 16
price level
2 Critical survey of tests of the sustainability hypothesis
2.1 Introduction 19
2.2 Tests based on the assumption of a constant expected interest 20
rate
2.2.1 Tests for stationarity of budget deficit as a test of the 20
sustainability hypothesis
2.2.2 Tests for cointegration between budget deficit and 23
public debt as a test of the sustainability hypothesis
2.3 Tests based on the assumption of a time varying expected 24
interest rate
2.3.1 Tests for stationarity of the discounted public debt as 25
a test of the sustainability hypothesis
2.3.2 Tests for cointegration between revenue and 27
expenditure as a test of the sustainability hypothesis
3 The sustainability test for the Swiss federal government
3.1 Introduction 30
3.2 Data, empirical methodology, and results 32
3.2.1 Results of the unit root and stationarity tests 33
3.2.2 Results of the cointegration tests 37
3.2.2.1 Results of two step cointegration test 37
3.2.2.2 Results of cointegration test with structural 39
break
3.2.2.3 Results of multivariate cointegration test 42
3.3 Determinants of the Swiss federal budget deficit 43
3.4 Concluding remarks 47
4 The causality between Swiss federal government revenue and expenditure
4.1 Introduction 49
4.2 Data, empirical methodology, and results 51
4.2.1 Results of the unit root and stationarity tests 52
4.2.2 Results of the cointegration tests 55
4.2.2.1 Results of the multivariate cointegration test 55
4.2.2.2 Results of cointegration test with structural 60
break
4.3 Testing for causality within the error correction framework 62
4.4 Concluding remarks 67
5 The sustainability test in the panel of rich OECD countries
5.1 Introduction 68
5.2 The panel cointegration test of the sustainability hypothesis 70
5.3 Data, empirical methodology, and results 73
5.3.1 Results of the unit root and stationariry tests within 74
the panel data framework
5.3.2 Results of the panel cointegration tests 75
5.3.2.1 Results of the panel cointegration test with 76
structural breaks
5.3.2.2 Results of the conventional panel 77
cointegration test
5.4 Concluding remarks 79
6 The sustainability test in the panel of ED member countries
6.1 Introduction 81
6.2 The panel cointegration test of the sustainability hypothesis 83
6.3 Data, empirical methodology, and results 85
6.3.1 Results of the unit root and stationarity tests within 85
the panel data framework
6.3.2 Results of the panel cointegration tests 87
6.3.2.1 Results of the conventional panel 87
cointegration test
6.3.2.2 Results of the panel cointegration test with 90
structural break
6.4 Concluding remarks 92
7 Conclusions 94
Bibliography 99
Appendix 112
Appendix
A.I Data and sources for Swiss federal government over the period from 1900 to
2002
B. 1 Data and sources for fourteen EU member countries over the period from 1970
to 2004
List of Figures
3.1 Values of the Chi squared test for parameter stability in the 40
cointegrating vector
3.2 Test statistics of the ADF(t) test for cointegration between revenue 41
and expenditure
4.1 Test statistics of the ADF(x) test for cointegration between 61
expenditure and GNP
4.2 Test statistics of the ADF(t) test for cointegration between revenue 61
and GNP
List of Tables
3.1 Tests for unit root and stationarity 34
3.2 Unit root tests with a structural break in 1943 36
3.3 Results of the Engle Granger cointegration test 38
3.4 Results of the Johansen cointegration test 43
4.1 Tests for unit root and stationarity 53
4.2 Unit root tests with structural breaks 54
4.3 Results of the cointegration tests 57
4.4 Results of Maximuum Likelihood (ML ) and Ordinary Least 59
Squares (OLS ) estimates of normalized cointegrating vectors
4.5 Error correction model for three variable systems consisting of 65
revenue, expenditure and GNP
5.1 Panel stationarity and panel cointegration tests 74
5.2 Estimated breaks in cointegration relationship 76
5.3 Panel cointegraton slope estimates 78
6.1 Panel unit root and stationarity tests 86
6.2 Panel cointegration slope estimates 88
6.3 Panel cointegration tests 89
6.4 Panel cointegration tests with structural break 91 |
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| index_date | 2024-07-02T17:20:39Z |
| indexdate | 2024-07-09T20:56:55Z |
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| language | English |
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| spelling | Prohl, Silika 1973- Verfasser (DE-588)132953773 aut Cointegration tests of sustainability of public debt Silika Prohl 2007 II, 112 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2007 Öffentliche Schulden (DE-588)4043153-8 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Kointegration (DE-588)4347470-6 gnd rswk-swf Nachhaltigkeit (DE-588)4326464-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Öffentliche Schulden (DE-588)4043153-8 s Nachhaltigkeit (DE-588)4326464-5 s Kointegration (DE-588)4347470-6 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015615969&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Prohl, Silika 1973- Cointegration tests of sustainability of public debt Öffentliche Schulden (DE-588)4043153-8 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Kointegration (DE-588)4347470-6 gnd Nachhaltigkeit (DE-588)4326464-5 gnd |
| subject_GND | (DE-588)4043153-8 (DE-588)4043212-9 (DE-588)4347470-6 (DE-588)4326464-5 (DE-588)4113937-9 |
| title | Cointegration tests of sustainability of public debt |
| title_auth | Cointegration tests of sustainability of public debt |
| title_exact_search | Cointegration tests of sustainability of public debt |
| title_exact_search_txtP | Cointegration tests of sustainability of public debt |
| title_full | Cointegration tests of sustainability of public debt Silika Prohl |
| title_fullStr | Cointegration tests of sustainability of public debt Silika Prohl |
| title_full_unstemmed | Cointegration tests of sustainability of public debt Silika Prohl |
| title_short | Cointegration tests of sustainability of public debt |
| title_sort | cointegration tests of sustainability of public debt |
| topic | Öffentliche Schulden (DE-588)4043153-8 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Kointegration (DE-588)4347470-6 gnd Nachhaltigkeit (DE-588)4326464-5 gnd |
| topic_facet | Öffentliche Schulden Ökonometrisches Modell Kointegration Nachhaltigkeit Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015615969&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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