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Asymmetric dynamics in the social contributions and social benefits nexus in Greece

Author

Listed:
  • Panagiotis Palaios

    (National and Kapodistrian University of Athens)

  • Evangelia Papapetrou

    (National and Kapodistrian University of Athens
    Bank of Greece)

Abstract

This paper studies the existence of asymmetries and the presence of a causal relationship between social benefits and social contributions in Greece over the period 1999Q1–2016Q4 using threshold cointegration estimation techniques (TAR and MTAR models) and asymmetric error-correction model estimation. In doing so the study applies conventional and quantile unit root tests to examine the order of integration of the variables. The empirical results support the hypothesis that social benefits and social contributions are cointegrated with threshold adjustment and the adjustment process is asymmetric both in the short and long run. ECM model estimation indicates that the response of the government to a worsening budget is significantly larger than to an improving budget, and the adjustment path towards momentum equilibrium takes place through social contributions, when the budget is in its negative phase (below threshold). Granger causality tests and distributed lag asymmetry tests indicate that social benefits represent an exogenous variable.

Suggested Citation

  • Panagiotis Palaios & Evangelia Papapetrou, 2019. "Asymmetric dynamics in the social contributions and social benefits nexus in Greece," Economic Change and Restructuring, Springer, vol. 52(4), pages 327-349, November.
    • Handle: RePEc:kap:ecopln:v:52:y:2019:i:4:d:10.1007_s10644-018-9234-9
    DOI: 10.1007/s10644-018-9234-9
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    More about this item

    Keywords

    Nonlinear; Threshold cointegration; Asymmetric ECM; Unit root tests; Structural breaks; Social benefits; Social contributions;
    All these keywords.

    JEL classification:

    • 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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions

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