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A Threshold Multivariate Model to Explain Fiscal Multipliers with Government Debt

Author

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  • Leonardo Augusto Tariffi

    (University of Barcelona, Department of Economics)

Abstract

This paper shows fiscal multipliers, considering levels of public debt with multivariate threshold models. Non-linear behavior in sovereign debt-to-GDP ratio time series determine the relationship between output and government expenditure. The debt-to-GDP ratio has been selected optimally as an endogenous threshold variable to evaluate non-linearities; it has been useful for identifying estimators in a multivariate threshold autoregressive model; and it has been an important tool to observe how the multiplier changes during good times and bad. Expansionary fiscal policies seem to be counterproductive in this framework. This result highlights the link between real and financial variables.

Suggested Citation

  • Leonardo Augusto Tariffi, 2019. "A Threshold Multivariate Model to Explain Fiscal Multipliers with Government Debt," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(1), pages 27-40, June.
    • Handle: RePEc:sgh:erfinj:v:4:y:2019:i:1:p:27-40
    DOI: 10.33119/ERFIN.2019.4.1.2
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    threshold models; non-linearity; public debt; fiscal multiplier;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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