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Modelling and Predicting the Fiscal Pressure Indicator in the European Union

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Listed:
  • Mihaela Simionescu
  • Mirela Niculae

Abstract

The main goal of this research is to model and predict the fiscal pressure indicator and the real GDP rate in the European Union during 1996-2013 using the vectorialautoregressive approach. According to Granger test for causality, only the real GDP rate is a cause of the weight tax in GDP, the relationship not being reciprocal. The fiscal pressure volatility is due mainly to the evolution of this indicator, but the influence decreases in time, not descending under 82%. More than 41% of the variation in real growth is explained by the fiscal pressure volatility starting with the 6th lag. The static and deterministic simulation generated the best predictions of the fiscal pressure indicator on the horizon 2011-2013.

Suggested Citation

  • Mihaela Simionescu & Mirela Niculae, 2015. "Modelling and Predicting the Fiscal Pressure Indicator in the European Union," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 1(1), pages 35-44, March.
    • Handle: RePEc:khe:scajes:v:1:y:2015:i:1:p:35-44
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    References listed on IDEAS

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    More about this item

    Keywords

    Granger causality; VAR model; fiscal pressure; predictions;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H30 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - General

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