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|a In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and 10-year treasury constant maturity rate as a proxy for credit conditions. We find that the response of output to fiscal policy shocks are stronger and more persistent when the economy is in the "tight" credit regime. The fiscal multipliers are abundantly and persistently higher than one when firms face increasing financing costs, whereas they are feebler and often lower than one in the "normal" credit regime. On the normative side, our results suggest policy makers to carefully plan fiscal policy measures according to the state of credit markets. -- fiscal policy ; threshold vector autoregression (TVAR) ; non-linear models ; impulse-response functions ; fiscal multipliers ; credit frictions ; financial accelerator
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In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and 10-year treasury constant maturity rate as a proxy for credit conditions. We find that the response of output to fiscal policy shocks are stronger and more persistent when the economy is in the "tight" credit regime. The fiscal multipliers are abundantly and persistently higher than one when firms face increasing financing costs, whereas they are feebler and often lower than one in the "normal" credit regime. On the normative side, our results suggest policy makers to carefully plan fiscal policy measures according to the state of credit markets. -- fiscal policy ; threshold vector autoregression (TVAR) ; non-linear models ; impulse-response functions ; fiscal multipliers ; credit frictions ; financial accelerator |
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Ferraresi, Tommaso aut, Fiscal policies and credit regimes a TVAR approach Tommaso Ferraresi; Andrea Roventini; Giorgio Fagiolo, Pisa Laboratory of Economics and Management, Sant'Anna School of Advanced Studies 2013, Online-Ressource graph. Darst., Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, LEM working paper series 2013/03, In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and 10-year treasury constant maturity rate as a proxy for credit conditions. We find that the response of output to fiscal policy shocks are stronger and more persistent when the economy is in the "tight" credit regime. The fiscal multipliers are abundantly and persistently higher than one when firms face increasing financing costs, whereas they are feebler and often lower than one in the "normal" credit regime. On the normative side, our results suggest policy makers to carefully plan fiscal policy measures according to the state of credit markets. -- fiscal policy ; threshold vector autoregression (TVAR) ; non-linear models ; impulse-response functions ; fiscal multipliers ; credit frictions ; financial accelerator, 1.7\x 1984-2010 stw, 1.1\x Kreditmarkt (DE-627)09137278X (DE-2867)11433-0 stw, 1.2\x Finanzpolitik (DE-627)09135997X (DE-2867)11728-2 stw, 1.3\x Multiplikator (DE-627)091378958 (DE-2867)10251-4 stw, 1.4\x VAR-Modell (DE-627)091396956 (DE-2867)19573-0 stw, 1.5\x Mathematische Optimierung (DE-627)091376823 (DE-2867)15055-0 stw, 1.6\x USA (DE-627)091396867 (DE-2867)17829-1 stw, Arbeitspapier DE-206, Online-Publikation DE-206, Roventini, Andrea aut, Fagiolo, Giorgio (DE-588)171791312 (DE-627)062035525 (DE-576)132558041 aut, Scuola superiore Sant'Anna di studi universitari e di perfezionamento Laboratory of Economics and Management LEM working paper series 2013/03 201303 (DE-627)571451659 (DE-576)284043796 (DE-600)2436330-3 2284-0400, http://hdl.handle.net/10419/89310 Resolving-System kostenfrei Volltext, http://www.lem.sssup.it/WPLem/2013-03.html Verlag Volltext, http://hdl.handle.net/10419/89310 LFER, LFER 2019-07-15T00:00:00Z |
| spellingShingle |
Ferraresi, Tommaso, Roventini, Andrea, Fagiolo, Giorgio, Fiscal policies and credit regimes: a TVAR approach, Scuola superiore Sant'Anna di studi universitari e di perfezionamento, Laboratory of Economics and Management, LEM working paper series, 2013/03, In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and 10-year treasury constant maturity rate as a proxy for credit conditions. We find that the response of output to fiscal policy shocks are stronger and more persistent when the economy is in the "tight" credit regime. The fiscal multipliers are abundantly and persistently higher than one when firms face increasing financing costs, whereas they are feebler and often lower than one in the "normal" credit regime. On the normative side, our results suggest policy makers to carefully plan fiscal policy measures according to the state of credit markets. -- fiscal policy ; threshold vector autoregression (TVAR) ; non-linear models ; impulse-response functions ; fiscal multipliers ; credit frictions ; financial accelerator, 1984-2010, Kreditmarkt, Finanzpolitik, Multiplikator, VAR-Modell, Mathematische Optimierung, USA, Arbeitspapier, Online-Publikation |
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9735963450 |
| title |
Fiscal policies and credit regimes: a TVAR approach |
| title_auth |
Fiscal policies and credit regimes a TVAR approach |
| title_full |
Fiscal policies and credit regimes a TVAR approach Tommaso Ferraresi; Andrea Roventini; Giorgio Fagiolo |
| title_fullStr |
Fiscal policies and credit regimes a TVAR approach Tommaso Ferraresi; Andrea Roventini; Giorgio Fagiolo |
| title_full_unstemmed |
Fiscal policies and credit regimes a TVAR approach Tommaso Ferraresi; Andrea Roventini; Giorgio Fagiolo |
| title_in_hierarchy |
2013/03. Fiscal policies and credit regimes: a TVAR approach (2013) |
| title_short |
Fiscal policies and credit regimes |
| title_sort |
fiscal policies and credit regimes a tvar approach |
| title_sub |
a TVAR approach |
| topic |
1984-2010, Kreditmarkt, Finanzpolitik, Multiplikator, VAR-Modell, Mathematische Optimierung, USA, Arbeitspapier, Online-Publikation |
| topic_facet |
Kreditmarkt, Finanzpolitik, Multiplikator, VAR-Modell, Mathematische Optimierung, USA, Arbeitspapier, Online-Publikation |
| url |
http://hdl.handle.net/10419/89310, http://www.lem.sssup.it/WPLem/2013-03.html |
