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

Author

Listed:
  • Christophe Schalck

    () (Bank of France)

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.

Suggested Citation

  • Christophe Schalck, 2007. "Effects of Fiscal Policies in Four European Countries: A Non-linear Structural VAR Approach," Economics Bulletin, AccessEcon, vol. 5(22), pages 1-7.
  • Handle: RePEc:ebl:ecbull:eb-07e60009
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    File URL: http://www.accessecon.com/pubs/EB/2007/Volume5/EB-07E60009A.pdf
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    References listed on IDEAS

    as
    1. 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).
    2. Carlo A. Favero, "undated". "How do European monetary and fiscal authorities behave?," Working Papers 214, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    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. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    5. Cornelia Holthausen & Thomas R¯nde, 2002. "Regulating Access to International Large-Value Payment Systems," Review of Financial Studies, Society for Financial Studies, pages 1561-1586.
    6. Ehrmann, M., 2000. "Firm Size and Monetary Policy Transmission - Evidence from German Business Survey Data," Economics Working Papers eco2000/12, European University Institute.
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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.

    More about this item

    JEL classification:

    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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