Andrić, Vladimir and Bodroža, Duško (2024) An Econometric Policy Evaluation of Fiscal Management in PIGS Economies. In: The Political Economy of Evaluation in Greece: Interdisciplinary Perspectives for an Inclusive and Forward-Looking Evaluation. Palgrave Macmillan Cham, pp. 285-307. ISBN 978-3-031-60721-9
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In this chapter we propose a non-linear self-exciting threshold autoregressive (SETAR) model as a potential econometric framework for evaluating fiscal policy management. Contrary to the previous studies, the results suggest the absence of corrective non-linear fiscal adjustment in the case of Portugal, Italy, Spain, and Greece (PIGS) after the Bretton Woods collapse, which helps to explain a staggering debt build-up in these economies in the last couple of decades. Although our preferred parsimonious SETAR (2,1,1) model estimates are incapable of encompassing large shocks to overall fiscal balances due to the Great Recession and the COVID-19 crisis, policymakers could update and improve the econometric results from this chapter by using real-time fiscal policy measures with the inclusion of structural intervention dummy variables in our preferred baseline SETAR (2,1,1) model specification to quantify significant fiscal outliers due to the Great Recession and the COVID-19 crisis for the PIGS economies between 1971 and 2021.
Item Type: | Book Section |
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Additional Information: | COBISS.ID=150944777 |
Research Department: | Macroeconomics |
Depositing User: | Jelena Banovic |
Date Deposited: | 27 Aug 2024 10:07 |
Last Modified: | 27 Aug 2024 10:07 |
URI: | http://ebooks.ien.bg.ac.rs/id/eprint/2095 |
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