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Statedependent fiscal multipliers and financial dynamics An impulse response analysis by local projections for South Africa

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  • Serena Merrino

Abstract

State-dependent fiscal multipliers and financial dynamics: An impulse response analysis by local projections for South Africa

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  • Serena Merrino, 2021. "Statedependent fiscal multipliers and financial dynamics An impulse response analysis by local projections for South Africa," Working Papers 11015, South African Reserve Bank.
    • Handle: RePEc:rbz:wpaper:11015
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    File URL: http://www.resbank.co.za/content/dam/sarb/publications/working-papers/2021/WP%202116.pdf
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    References listed on IDEAS

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    10. Alan J. Auerbach & Yuriy Gorodnichenko, 2012. "Fiscal Multipliers in Recession and Expansion," NBER Chapters, in: Fiscal Policy after the Financial Crisis, pages 63-98, National Bureau of Economic Research, Inc.
    11. Christiane Nickel & Andreas Tudyka, 2014. "Fiscal Stimulus in Times of High Debt: Reconsidering Multipliers and Twin Deficits," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(7), pages 1313-1344, October.
    12. Ilzetzki, Ethan & Mendoza, Enrique G. & Végh, Carlos A., 2013. "How big (small?) are fiscal multipliers?," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 239-254.
    13. Mabugu, Ramos & Robichaud, Veronique & Maisonnave, Helene & Chitiga, Margaret, 2013. "Impact of fiscal policy in an intertemporal CGE model for South Africa," Economic Modelling, Elsevier, vol. 31(C), pages 775-782.
    14. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
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    19. Giancarlo Corsetti & André Meier & Gernot J. Müller, 2012. "What determines government spending multipliers? [Mafia and public spending: Evidence of the fiscal multiplier from a quasi-experiment’, mimeo]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 27(72), pages 521-565.
    20. Makrelov, Konstantin & Arndt, Channing & Davies, Rob & Harris, Laurence, 2020. "Balance sheet changes and the impact of financial sector risk-taking on fiscal multipliers," Economic Modelling, Elsevier, vol. 87(C), pages 322-343.
    21. Ardagna, Silvia, 2009. "Financial Markets’ Behavior Around Episodes of Large Changes in the Fiscal Stance," Scholarly Articles 2579824, Harvard University Department of Economics.
    22. Valerie A. Ramey, 2019. "Ten Years after the Financial Crisis: What Have We Learned from the Renaissance in Fiscal Research?," Journal of Economic Perspectives, American Economic Association, vol. 33(2), pages 89-114, Spring.
    23. Matthew Canzoneri & Fabrice Collard & Harris Dellas & Behzad Diba, 2016. "Fiscal Multipliers in Recessions," Economic Journal, Royal Economic Society, vol. 126(590), pages 75-108, February.
    24. Alan J. Auerbach & Yuriy Gorodnichenko, 2013. "Output Spillovers from Fiscal Policy," American Economic Review, American Economic Association, vol. 103(3), pages 141-146, May.
    25. Mr. Marcello M. Estevão & Issouf Samaké, 2013. "The Economic Effects of Fiscal Consolidation with Debt Feedback," IMF Working Papers 2013/136, International Monetary Fund.
    26. Johannes Hermanus Kemp & Hylton Hollander, 2020. "A medium-sized, open-economy, fiscal DSGE model of South Africa," WIDER Working Paper Series wp-2020-92, World Institute for Development Economic Research (UNU-WIDER).
    27. Valerie A. Ramey & Sarah Zubairy, 2018. "Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data," Journal of Political Economy, University of Chicago Press, vol. 126(2), pages 850-901.
    28. Olivier Blanchard & Roberto Perotti, 2002. "An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(4), pages 1329-1368.
    29. Ardagna, Silvia, 2009. "Financial markets' behavior around episodes of large changes in the fiscal stance," European Economic Review, Elsevier, vol. 53(1), pages 37-55, January.
    30. Johannes Hermanus Kemp, 2020. "Empirical estimates of fiscal multipliers for South Africa," WIDER Working Paper Series wp-2020-91, World Institute for Development Economic Research (UNU-WIDER).
    31. Mikkel Plagborg‐Møller & Christian K. Wolf, 2021. "Local Projections and VARs Estimate the Same Impulse Responses," Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
    32. Theo Janse van Rensburg & Shaun de Jager & Konstantin Makrelov, 2021. "Fiscal multipliers in South Africa after the global financial crisis," Working Papers 11007, South African Reserve Bank.
    33. Jesús Fernández-Villaverde, 2010. "Fiscal Policy in a Model with Financial Frictions," American Economic Review, American Economic Association, vol. 100(2), pages 35-40, May.
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    Cited by:

    1. Kaelo Ntwaepelo & Grivas Chiyaba, 2022. "Financial Stability Surveillance Tools: Evaluating the Performance of Stress Indices," Economics Discussion Papers em-dp2022-06, Department of Economics, University of Reading.
    2. Lwazi Senzo Ntshangase & Thando Ngozo, 2024. "Quantifying Fiscal Multipliers in South Africa: A Structural Var Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 16(2), pages 45-55.
    3. Rabia Rafique & Asad Nisar & Syed Sadaqat Ali Shah, 2024. "Testing the effects of fiscal policy shocks on output growth in recession and expansion: empirical evidence from developing countries," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-26, June.
    4. Syed Sadaqat Ali Shah & Muhammad Asim Afridi, 2023. "Cyclical variation of fiscal multipliers in Caucasus and Central Asia economies: an empirical evidence," Economic Change and Restructuring, Springer, vol. 56(6), pages 4531-4563, December.
    5. Havemann, Roy & Hollander, Hylton, 2024. "Fiscal policy in times of fiscal stress (or what to do when r > g)," Journal of Policy Modeling, Elsevier, vol. 46(5), pages 1020-1054.

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