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The Effects of Fiscal Policy on Emerging Economies. A TVP- VAR Approach

Author

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  • Ioana Boiciuc

    (Bucharest University of Economics, Romania)

Abstract

This study seeks to analyze the effects of government expenditure shock and tax revenue shock on economic activity by applying a time-varying parameter vector autoregressive methodology. The advantage of this approach is that it allows for fiscal policy shocks to vary over time according to the changes in the economic activity and permits us to capture the non-linear nature of the fiscal multiplier's size. This paper provides an evaluation of the effects of fiscal policy in Romania, using quarterly data for three variables: GDP, government expenditure and tax revenues, from 2001q1 to 2013q3. The main results show that fiscal policy has a small effect on economic activity and that for the period considered the estimated coefficients do not show much time variation.

Suggested Citation

  • Ioana Boiciuc, 2015. "The Effects of Fiscal Policy on Emerging Economies. A TVP- VAR Approach," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 13(1), pages 75-84.
    • Handle: RePEc:seb:journl:v:13:y:2015:i:1:p:75-84
    as

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    Cited by:

    1. Neaime, Simon & Badra, Nasser & Gaysset, Isabelle, 2023. "Fiscal asymmetries and debt crises: Evidence from Lebanon using a sign restricted structural VAR model," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).

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    More about this item

    Keywords

    fiscal policy; time-varying parameters; Bayesian estimation;
    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
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory

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