Fiscal deficits and the socioeconomic consequences of rebalancing: Insights from a TVP-VAR with stochastic volatility

IF 1.2 4区 经济学 Q3 ECONOMICS
Binh Thai Pham, Hector Sala
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引用次数: 0

Abstract

This article connects two salient economic features: (i) Fiscal shocks have asymmetric effects across business cycle phases (Gechert, Horn, & Paetz, 2019); (ii) the unemployment-output trade-off is time varying and may be unstable. The intertwined dynamic behaviour of fiscal deficit shocks and the unemployment-output trade-off is studied in this article using a time-varying parameter (TVP) vector autoregression (VAR) with stochastic volatility techniques applied to the analysis of data from Canada, France, Germany, Japan, Spain, Sweden, United Kingdom and the United States of America. We confirm the trade-off heterogeneity across country, and its time-varying nature across time, showing in addition its fluctuation around a long-run reference value. We document significant short-run impacts of fiscal shocks on the unemployment-output trade-off which, based on the experience of the Global Financial Crisis, becomes larger in periods of economic turmoil. Policy-wise, the rebalancing of public finances may have unexpected adverse effects on job creation if implemented during slumps, precisely when the labour market sensitivity with respect to the performance of the product market is likely to be more acute. This message is particularly relevant in the aftermath of the Covid-19 pandemic.

财政赤字和再平衡的社会经济后果:来自随机波动的TVP‐VAR的见解
本文联系了两个显著的经济特征:(i)财政冲击在整个商业周期阶段具有不对称影响(Gechert,Horn,&Paetz,2019);(ii)失业产出的权衡是随时间变化的,可能是不稳定的。本文使用时变参数(TVP)向量自回归(VAR)和随机波动性技术研究了财政赤字冲击和失业产出权衡的交织动态行为,该技术应用于加拿大、法国、德国、日本、西班牙、瑞典、英国和美利坚合众国的数据分析。我们证实了国家之间的权衡异质性及其随时间的时变性质,此外还显示了其在长期参考值周围的波动。我们记录了财政冲击对失业产出权衡的重大短期影响,根据全球金融危机的经验,失业产出权衡在经济动荡时期变得更大。从政策角度来看,如果在经济衰退期间实施公共财政的再平衡,可能会对创造就业产生意想不到的不利影响,而此时劳动力市场对产品市场表现的敏感性可能更为严重。这一信息在新冠肺炎大流行之后尤其重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.20
自引率
5.30%
发文量
36
期刊介绍: Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.
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