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Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia

Author

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  • Alejandro López-Vera
  • Andrés D. Pinchao-Rosero
  • Norberto Rodríguez-Niño

Abstract

This paper analyzes the non-linear and asymmetric effects of fiscal multipliers for expenditure and tax revenue for the Colombian economy. For this purpose, we use autoregressive vector models with smooth transition estimated with Bayesian methods between 1995-Q1 and 2015-Q4. The results show evidence of the existence of dependence on the impact (non-linearity) and none-asymmetry of fiscal multipliers. We found that expenditure and tax revenue multipliers are higher when the economy is in periods of a negative output gap than when it is positive. Also, the expenditure multipliers are slightly lower than the tax revenue multipliers regardless of the state of the economy. *** Este documento analiza los efectos no lineales y asimétricos de los multiplicadores fiscales de gasto e ingresos tributarios para la economía colombiana. Para ello se utilizan modelos de vectores autorregresivos con transición suave estimados con métodos bayesianos, para el período comprendido entre 1995-Q1 y 2015-Q4. Los resultados muestran evidencia de existencia de dependencia en el impacto (no linealidad) y no asimetría de los multiplicadores fiscales. De esta manera, se encuentra que los multiplicadores de gasto e impuestos son mayores cuando la economía está en periodos de brecha del producto negativa, que cuando es positiva. Además, los multiplicadores de gastos son inferiores que los de ingreso por impuestos, independiente del estado de la economía en el que se encuentren.

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  • Alejandro López-Vera & Andrés D. Pinchao-Rosero & Norberto Rodríguez-Niño, 2018. "Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 36(85), pages 48-64, April.
    • Handle: RePEc:bdr:ensayo:v:36:y:2018:i:85:p:48-64
    DOI: 10.32468/Espe.8503
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    2. Sergio Restrepo-Ángel & Hernán Rincón-Castro & Juan J. Ospina-Tejeiro, 2020. "Multiplicadores de los impuestos y del gasto público en Colombia: aproximaciones SVAR y proyecciones locales," Borradores de Economia 1114, Banco de la Republica de Colombia.
    3. Restrepo-Ángel, Sergio & Rincón-Castro, Hernán & Ospina-Tejeiro, Juan J., 2022. "Multipliers of taxes and public spending in Colombia: SVAR and local projections approaches," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).

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    More about this item

    Keywords

    Fiscal Multipliers; Fiscal Policy; Asymmetry; Non-linear VAR; Multiplicadores fiscales; Política fiscal; Asimetrías; Modelo VAR no lineal;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • 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
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H39 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Other

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