Publicação
The macroeconomic effects of fiscal policy in Portugal : a Bayesian SVAR analysis
| Resumo: | With a new quarterly dataset we estimate a Bayesian Structural Autoregression model and a Fully Simultaneous System approach to analyze the macroeconomic effects of fiscal policy. Results show that positive government spending shocks, in general, have a negative effect on real GDP; lead to “crowding-out” effects of private consumption and investment; have a persistent and positive effect on the price level and a mixed impact on the average financing cost of government debt. Explicitly considering the government debt dynamics in the model is also important. A VAR counter- factual exercise confirms that unexpected positive spending shocks create relevant “crowding-out” effects. |
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| Autores principais: | Afonso, António |
| Outros Autores: | Sousa, Ricardo M. |
| Assunto: | B-SVAR Fully simultaneous system Fiscal policy Debt dynamics Portugal |
| Ano: | 2011 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | With a new quarterly dataset we estimate a Bayesian Structural Autoregression model and a Fully Simultaneous System approach to analyze the macroeconomic effects of fiscal policy. Results show that positive government spending shocks, in general, have a negative effect on real GDP; lead to “crowding-out” effects of private consumption and investment; have a persistent and positive effect on the price level and a mixed impact on the average financing cost of government debt. Explicitly considering the government debt dynamics in the model is also important. A VAR counter- factual exercise confirms that unexpected positive spending shocks create relevant “crowding-out” effects. |
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