Search results for "Macroeconomic"
showing 10 items of 503 documents
A wavelet analysis of US fiscal sustainability
2015
Abstract In this paper, we reassess the relationship between primary deficit and lagged debt to GDP ratio (Bohn, 1998), to test for US debt sustainability over the period 1795–2012. Our analysis is rooted in the wavelet domain enabling the detection of interesting patterns and otherwise hidden information. We find evidence of long term fiscal sustainability but only up until 1995 and also we show that governments tend to respond more vigorously to budget deficits when the level of debt is high rather than low.
Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices
2013
This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability Markovian processes (TVPMS), we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock price changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the rev…
A network perspective on international banking integration
2011
Abstract The aim of this article is to develop new international banking integration indicators together with their components: openness and regularity (balance) of the bilateral bank flows. We define the Standard of Perfect Banking Integration (SPBI), which characterizes the scenario attainable when bank flows are not geographically biased, and cross-border asset trade is not affected by home bias. We assess the gap between a hypothetical scenario of geographic neutrality and the current level of banking integration, along with both of its components. The empirical application to the banking systems of 23 countries over the 2003–2009 period enables us to conclude that the level of banking …
MACROECONOMIC SYNCHRONIZATION BETWEEN G3 COUNTRIES
2002
This paper studies the existence of a world business cycle by examining quarterly and annual comovements in production, prices, and interest rates in the three main world economies: Germany, Japan and the U.S. In accordance with earlier studies, contemporaneous relationships clearly dominate short-term dynamics. The evidence indicates that, in the last four decades, these comovements are clearly significant in all the variables, with the possible exception of short-term interest rates, and they are stronger for long-term interest rates; nevertheless, they are rather unstable over time. Este artículo estudia la existencia de un ciclo económico mundial mediante elexamen de movimientos comunes…
New evidence on international R&D spillovers, human capital and productivity in the OECD
2002
Abstract In this article we show how the use of more reliable data on average years of schooling can change the conclusions about the magnitude of international R&D spillovers based on previous evidence, while pointing to a superior role of human capital.
Assessing long-term fiscal developments : a new approach
2011
We use a new approach to assess long-term fiscal developments. By analyzing the time-varying behaviour of the two components of government spending and revenue – responsiveness and persistence–, a feature not captured by automatic stabilisers, we are able to infer about the sources of fiscal deterioration (improvement). Drawing on quarterly data, we estimate recursively these components within a system of government revenue and spending equations using a Three-Stage Least Square method for eight European Union countries plus the US. The results suggest that significant changes in the fiscal stance (including those related to the current crisis) are reflected in the estimates of persistence …
Estimating the gravity equation with the actual number of exporting firms
2013
Para estimar correctamente el efecto de los costes de comerciar sobre las exportaciones de las empresas, la ecuación de gravedad debe controlar por el número de empresas que opera en el mercado internacional. Debido a la ausencia de datos, estudios anteriores han controlado esta variable mediante técnicas econométricas que también pueden generar estimaciones sesgadas. Para superar estos problemas este trabajo estima una ecuación de gravedad utilizando una nueva base de datos de la OCDE y EUROSTAT , que incluye el número de empresas exportadoras en cada relación bilateral. Nuestros resultados muestran que no controlar el margen extensivo genera sesgos muy importantes en la estimación de los …
Economic Growth and Religious Production Efficiency
2005
During the past few years, empirical economic growth modeling has emerged by constructing and testing numerous model and explanatory variable alternatives. One of the most promising recent idea consists that also religious aspects should be included as explanatory variables into economic growth models, therefore capturing influences of culture, moral and ethics. Moral institutions and ethics affect the economic development, as for example, trust and honesty are essential requirements for emerging economic activity. Religious activities and beliefs are documented over a long time period in many Western economies, making quantitative empirical time series data available. Following the idea an…
Fiscal sustainability in the EU: From the short-term risk to the long-term challenge
2015
Abstract The paper analyses fiscal sustainability of public debt using a dynamic computable general equilibrium model. First, we identify the short-term risk for fiscal stress at country level; second, we investigate the assumption of convergence towards the government debt threshold (medium-term challenge); and, third, the requirement that debt projections do not show unsustainable trends (long-term challenge). The empirical implementation includes 18 EU Member States. Our findings show that the constant tax rate that stabilizes the public debt converges to 50 percentage of GDP for all the sample countries and tax revenues are the main driving forces for fiscal sustainability. Also our fin…
Can re-regulation of the financial sector strike back public debt?
2015
This paper analyzes the impact of financial sector policy changes on the dynamics of public debt. Using a panel of 89 countries from 1973 to 2005, we find that while the implementation of (large) financial liberalisation policies significantly raises the public debt growth rate, the adoption of financial re-regulation measures leads to a mild reduction of public debt. Looking at the different typologies of financial sector policy changes, we show that stricter banking supervision, privatisations and restrictions to international capital flows contribute to a fast decline of the growth rate of public debt. In contrast, the removal of entry barriers and the elimination of interest rate contro…