The use of SVAR analysis in determining the effects of ?scal shocks in Croatia
In this paper we use multivariate Blanchard-Perotti SVAR methodology to analyze disaggregated short-term effects of fiscal policy on economic activity, inflation and short-term interest rates. The results suggest that the effects of government expenditure shocks and the shock of government revenues are relatively the highest on interest rates and the lowest on inflation. A tax shock in the short term increases the inflation rate and also decreases the short-term interest rate, and after one year stabilization occurs at the initial level, while spending shock leads to a reverse effect. The effects of fiscal policies on the proxy variable of output, i.e. industrial production, are less economically intuitive, because the shock of expenditure decreases and revenue shock permanently increases industrial production. The empirical result shows that a tax shock has a permanent effect on future taxes; while future levels of government spending are not related to current expenditure shocks. Interactions between the components of fiscal policy are also examined and it is concluded that a tax shock increases expenditures permanently, while an expenditure shock does not significantly affect government revenues, which is consistent with the tendency of growth in public debt. Furthermore, it was found that government revenue and expenditure shocks do not have a mirror effect, which justifies disaggregated analysis of fiscal policy shocks.
Volume (Year): 35 (2011)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
Web page: http://www.fintp.hr/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francisco de Castro & Pablo Hernández de Cos, 2006.
"The economic effects of exogenous fiscal shocks in Spain: a SVAR approach,"
Banco de Espa�a Working Papers
0604, Banco de Espa�a.
- de Castro Fernández, Francisco & Hernández de Cos, Pablo, 2006. "The economic effects of exogenous fiscal shocks in Spain: a SVAR approach," Working Paper Series 0647, European Central Bank.
- Ramey, Valerie A. & Shapiro, Matthew D., 1998.
"Costly capital reallocation and the effects of government spending,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 48(1), pages 145-194, June.
- Valerie A. Ramey & Matthew D. Shapiro, 1999. "Costly Capital Reallocation and the Effects of Government Spending," NBER Working Papers 6283, National Bureau of Economic Research, Inc.
- John W. Keating, 1992. "Structural approaches to vector autoregressions," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 37-57.
- Dario Caldara & Christophe Kamps, 2006. "What Do We Know About the Effects of Fiscal Policy Shocks? A Comparative Analysis," Computing in Economics and Finance 2006 257, Society for Computational Economics.
- António Afonso & Ricardo M. Sousa, 2009.
"The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis,"
Working Papers Department of Economics
2009/09, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- António Afonso & Ricardo Sousa, 2011. "The macroeconomic effects of fiscal policy in Portugal: a Bayesian SVAR analysis," Portuguese Economic Journal, Springer, vol. 10(1), pages 61-82, April.
- Ricardo M. Sousa & António Afonso, 2009. "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," NIPE Working Papers 3/2009, NIPE - Universidade do Minho.
- Afonso, António & Sousa, Ricardo M., 2009.
"The macroeconomic effects of fiscal policy,"
Working Paper Series
0991, European Central Bank.
- António Afonso & Ricardo M. Sousa, 2008. "The Macroeconomic Effects of Fiscal Policy," Working Papers Department of Economics 2008/56, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- Ricardo M. Sousa & António Afonso, 2008. "The Macroeconomic Effects of Fiscal Policy," NIPE Working Papers 22/2008, NIPE - Universidade do Minho.
- Caldara, Dario & Kamps, Christophe, 2008. "What are the effects of fiscal policy shocks? A VAR-based comparative analysis," Working Paper Series 0877, European Central Bank.
- Bernanke, Ben S. & Mihov, Ilian, 1997.
"What does the Bundesbank target?,"
European Economic Review,
Elsevier, vol. 41(6), pages 1025-1053, June.
- Favero, Carlo A., 2002.
"How do European Monetary and Fiscal Authorities Behave?,"
CEPR Discussion Papers
3426, C.E.P.R. Discussion Papers.
- Carlo A. Favero, . "How do European monetary and fiscal authorities behave?," Working Papers 214, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Jörn Tenhofen & Guntram B. Wolff & Kirsten H. Heppke-Falk, 2010.
"The Macroeconomic Effects of Exogenous Fiscal Policy Shocks in Germany: A Disaggregated SVAR Analysis,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik),
Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(3), pages 328-355, June.
- Wolff, Guntram B. & Tenhofen, Jörn & Heppke-Falk, Kirsten H., 2006. "The macroeconomic effects of exogenous fiscal policy shocks in Germany: a disaggregated SVAR analysis," Discussion Paper Series 1: Economic Studies 2006,41, Deutsche Bundesbank, Research Centre.
- repec:hal:journl:hal-00287137 is not listed on IDEAS
- McCoy, Daniel, 1997. "How useful is Structural VAR Analysis for Irish economics?," Research Technical Papers 2/RT/97, Central Bank of Ireland.
When requesting a correction, please mention this item's handle: RePEc:ipf:finteo:v:35:y:2011:i:1:p:25-58. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martina Fabris)
If references are entirely missing, you can add them using this form.