The cyclicality of fiscal policy: New evidence from unobserved components approach |
| |
| Institution: | 1. Department of Economics, Deakin University, 221 Burwood Highway, Burwood, Victoria 3125 Australia;2. Department of Economics, College of Business Administration, University of Nebraska-Omaha, Omaha, NE 68182-0048, USA;3. School of Business and Economics, Loughborough University, Leicestershire LE11 3TU, UK\n;1. Department of Economics, Aoyama Gakuin University, 4-4-25 Shibuya, Shibuya-ku, Tokyo 150-8366, Japan;2. Graduate School of Economics, Hitotsubashi University, Naka 2-1, Kunitachi City, Tokyo 186-8603, Japan;1. Department of Economics, Athens University of Economics and Business, 76 Patission Str, Athens 10434, Greece;2. CESifo, Munich 81675, Germany |
| |
| Abstract: | This paper employs the multivariate version of the unobserved components model to reinvestigate the cyclicality of fiscal policy in eleven OECD countries. The novelty of the multivariate approach lies in its superior ability to disentangle the correlations in cycles from the correlations in slopes of the relevant variables while allowing for those correlations in the model. The results suggest that fiscal policy is mildly counter-cyclical in seven of the eleven countries analyzed which resonates with the standard Keynesian models. However, the slope (growth) of government consumption is found to be positively correlated with real GDP in these economies. There is no evidence of procyclical fiscal policies in any of these eleven industrial countries. The results remain robust when we use subsamples and an alternative fiscal policy variable. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
