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Time-varying fiscal multipliers for South Africa: A large time-varying parameter vector autoregression approach

Author

Listed:
  • Gideon du Rand
  • Hylton Hollander
  • Dawie van Lill

Abstract

A critical requirement for efficient fiscal policy is a reliable understanding of its impact on the aggregate economy for different policy instruments and under different economic conditions. Indeed, there is strong evidence to suggest that fiscal multipliers vary with economic conditions, the components of government decision-making that are considered, and the identification strategy and modelling approach used.

Suggested Citation

  • Gideon du Rand & Hylton Hollander & Dawie van Lill, 2023. "Time-varying fiscal multipliers for South Africa: A large time-varying parameter vector autoregression approach," WIDER Working Paper Series wp-2023-106, World Institute for Development Economic Research (UNU-WIDER).
    • Handle: RePEc:unu:wpaper:wp-2023-106
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    File URL: https://www.wider.unu.edu/sites/default/files/Publications/Working-paper/PDF/wp2023-106-time-varying-fiscal-multipliers-South-Africa.pdf
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    References listed on IDEAS

    as
    1. Hylton Hollander, 2024. "Debt-financed fiscal stimulus in South Africa," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 48(1), pages 87-112, January.
    2. Jouchi Nakajima, 2011. "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 29, pages 107-142, November.
    3. 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.
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    Cited by:

    1. Abhishek Kumar & Sushanta Mallick, 2024. "Government size and risk premium," WIDER Working Paper Series wp-2024-24, World Institute for Development Economic Research (UNU-WIDER).

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    More about this item

    Keywords

    Fiscal multipliers; Bayesian estimation; Fiscal policy;
    All these keywords.

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