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Fiscal policies and credit regimes: a TVAR approach

Authors and Corporations: Ferraresi, Tommaso (Author), Roventini, Andrea (Author), Fagiolo, Giorgio (Author)
Title: Fiscal policies and credit regimes: a TVAR approach/ Tommaso Ferraresi; Andrea Roventini; Giorgio Fagiolo
Language: English
published:
Pisa Laboratory of Economics and Management, Sant'Anna School of Advanced Studies 2013
Series: Scuola superiore Sant'Anna di studi universitari e di perfezionamento: LEM working paper series ; 2013/03
Item Description: Online-Ressource; graph. Darst
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author Ferraresi, Tommaso, Roventini, Andrea, Fagiolo, Giorgio
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contents 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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spelling 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 epn:3494985022 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
swb_id_str 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
title_unstemmed Fiscal policies and credit regimes: 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
work_keys_str_mv AT ferraresitommaso fiscalpoliciesandcreditregimesatvarapproach, AT roventiniandrea fiscalpoliciesandcreditregimesatvarapproach, AT fagiologiorgio fiscalpoliciesandcreditregimesatvarapproach