Document details

Fiscal policy under financial stress: a threshold VAR approach

Author(s): Jóia, Filipa Gomes da Silva

Date: 2014

Persistent ID:

Origin: Repositório Institucional da UNL

Subject(s): Threshold VAR; Financial Stress Index (FSI); Fiscal multipliers; Regime switches


The purpose of the project is to measure the impact of fiscal policy on the Portuguese GDP and how it may vary according to the state of the financial market. A Threshold VAR model is presented in which the two regimes are found using a financial stress index that divides the economy into a situation of financial stress and financial stability.

Document Type Master thesis
Language English
Advisor(s) Nunes, Luís Catela
Contributor(s) Jóia, Filipa Gomes da Silva
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