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Test de l’équivalence Ricardienne par la Modélisation SVAR
[Ricardian Equivalence Test by SVAR Modeling]

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  • Ghassan, Hassan B.

Abstract

The purpose of this paper is to test the Ricardian Equivalence hypothesis REH by estimating a SVAR model. In this framework, we separate the co-movements of saving rate and budget deficit rate into two types of shocks, associated with structural parameters, as if we were looking for ‘’two needles in haystack’’. We avoid imposing formal short run and long run constraints, because this may overestimate the compensation rate and bias the estimation of structural multipliers. Our results suggest that the REH applies to Moroccan economy, since private saving compensates a big fraction i.e. 90 percent of the shock in budget deficit. This supports the interpretation that the large budget deficit, financed especially by debt, has been a very important factor behind the significant increase in real interest rates.

Suggested Citation

  • Ghassan, Hassan B., 2003. "Test de l’équivalence Ricardienne par la Modélisation SVAR [Ricardian Equivalence Test by SVAR Modeling]," MPRA Paper 56459, University Library of Munich, Germany, revised 05 Mar 2004.
    • Handle: RePEc:pra:mprapa:56459
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    References listed on IDEAS

    as
    1. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
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    6. Domenech, Rafael & Taguas, David & Varela, Juan, 2000. "The effects of budget deficit on national saving in the OECD," Economics Letters, Elsevier, vol. 69(3), pages 377-383, December.
    7. Seater, John J, 1993. "Ricardian Equivalence," Journal of Economic Literature, American Economic Association, vol. 31(1), pages 142-190, March.
    8. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454-454, October.
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    More about this item

    Keywords

    Budget deficit; Saving; Ricardian Equivalence; SVAR.;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • H3 - Public Economics - - Fiscal Policies and Behavior of Economic Agents

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