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Effects of Fiscal Policies in Four European Countries: A Non-linear Structural VAR Approach

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  • Christophe Schalck

    ()
    (Bank of France)

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    Abstract

    This paper provides new estimates of the effects of fiscal policies by using a non-linear structural VAR model. This methodology is applied to Belgium, France, Germany and Netherlands cases. Results show that reactions to a fiscal shock are different according to the regime that prevails and across countries.

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    File URL: http://www.accessecon.com/pubs/EB/2007/Volume5/EB-07E60009A.pdf
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    Bibliographic Info

    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 5 (2007)
    Issue (Month): 22 ()
    Pages: 1-7

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    Handle: RePEc:ebl:ecbull:eb-07e60009

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    1. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    2. Jerome Creel & Henri Sterdyniak, 2002. "The fiscal theory of the price level and sluggish inflation: how important shall the wealth effect be?," Documents de Travail de l'OFCE 2002-01, Observatoire Francais des Conjonctures Economiques (OFCE).
    3. Ehrmann, Michael & Ellison, Martin & Valla, Natacha, 2003. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Economics Letters, Elsevier, vol. 78(3), pages 295-299, March.
    4. Favero, Carlo A, 2002. "How do European Monetary and Fiscal Authorities Behave?," CEPR Discussion Papers 3426, C.E.P.R. Discussion Papers.
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    Cited by:
    1. Gnegne, Yacouba & Jawadi, Fredj, 2013. "Boundedness and nonlinearities in public debt dynamics: A TAR assessment," Economic Modelling, Elsevier, vol. 34(C), pages 154-160.

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