Search results for "government solvency"

showing 2 items of 2 documents

Testing for Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach

2001

Applied macroeconomists have tested for the government intertemporal solvency condition by either testing for linear stationarity in the total government deficit series or testing for linear cointegration between total government spending and total tax revenues. A number of authors have focused, in particular, on structural breaks in the government deficit process. In this paper, we use a smooth transition error correction model to test and estimate a shift in the adjustment toward a linear cointegration relationship between the government spending to output ratio and the total tax revenues to output ratio. Estimation results show that government authorities react only to large (in absolute…

Government spendingMacroeconomicsEstimationEconomics and EconometricsSolvencyCointegrationResidualnon linear time seriesintertemporal solvency smooth transitionError correction modelGovernment (linguistics)Tax revenuegovernment solvency; non linear time seriesEconometricsEconomicsgovernment solvency
researchProduct

FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME-SERIES ANALYSIS

2009

We analyze the fiscal adjustment process in the United States using a multivariate threshold vector error regression model. The shift from single-equation to multivariate setting adds value both in terms of our economic understanding of the fiscal adjustment process and the forecasting performance of nonlinear models. We find evidence that fiscal authorities intervene to reduce real per capita deficit only when it reaches a certain threshold and that fiscal adjustment takes place primarily by cutting government expenditure. The results of out-of-sample density forecast and probability forecasts suggest that a shift from a univariate autoregressive model to a multivariate model improves fore…

MacroeconomicsEconomics and EconometricsMultivariate statisticsUnivariateRegression analysisGeneral Business Management and AccountingNonlinear time series analysisAutoregressive modelnon line time series; forecasting; government solvencyValue (economics)Per capitaEconomicsEconometricsFiscal adjustmentThreshold Cointegration Forecasting Deficit Sustainability
researchProduct