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VAR Approach to Efficiency Evaluation of Fiscal Economy Encouragement Measures

Author

Listed:
  • Anton I. Votinov

    (National Research University Higher School of Economics, Moscow 101000, Russia; Financial Research Institute, Moscow 127006, Russia)

  • Ivan P. Stankevich

    (National Research University Higher School of Economics, Moscow 101000, Russia)

Abstract

The paper presents a vector autoregression-based approach to evaluation fiscal measures. Using both structural and Bayesian VAR models, the authors estimate fiscal multipliers of overall government expenditure and its components: national defense, national economy, education and social policy expenditures. The results are checked for robustness using different lag length and model specifications and different sets of hyperparameters in Bayesian VAR case. Regarding overall expenditures these results are quite stable across specifications and correspond well with results obtained in previous research in this field. National defense and social policy multipliers are shown to be negative (in contrast to previous research on Russian data), when national economy and education expenditures multipliers are positive. The article also presents some policy implications.

Suggested Citation

  • Anton I. Votinov & Ivan P. Stankevich, 2017. "VAR Approach to Efficiency Evaluation of Fiscal Economy Encouragement Measures," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 64-74, December.
    • Handle: RePEc:fru:finjrn:170605:p:64-74
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    References listed on IDEAS

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    Cited by:

    1. Samvel S. Lazaryan & Maria A. Elkina, 2021. "Financial Sector’s Role in Transmission of Monetary and Fiscal Shocks in Russian Economy: Estimation Under Different Assumptions About Production Sector," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 25-53, December.

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    More about this item

    Keywords

    fiscal multipliers; public spending; VAR models; Bayesian approach;
    All these keywords.

    JEL classification:

    • H50 - Public Economics - - National Government Expenditures and Related Policies - - - General

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