The Effects of Fiscal Policy on Business Cycle: Evidence from
SVAR Model with Debt Constraints

D 2015

The Effects of Fiscal Policy on Business Cycle: Evidence from SVAR Model with Debt Constraints

BAĎO, Peter, Vlastimil REICHEL a Miroslav HLOUŠEK

Základní údaje

Originální název

The Effects of Fiscal Policy on Business Cycle: Evidence from SVAR Model with Debt Constraints

Autoři

BAĎO, Peter (703 Slovensko, garant, domácí), Vlastimil REICHEL (203 Česká republika, domácí) a Miroslav HLOUŠEK (203 Česká republika, domácí)

Vydání

Brno, Proceedings of 18th International Conference Enterprise and Competitive Environment, od s. 27-35, 9 s. 2015

Nakladatel

Mendel University

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Odkazy

Conference proceedings

Kód RIV

RIV/00216224:14560/15:00084132

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7509-342-4

UT WoS

000380464000004

Klíčová slova anglicky

structural vector autoregression; fiscal and monetary policy; debt

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 10. 4. 2019 22:09, Ing. Mgr. Vlastimil Reichel, Ph.D.

Anotace

V originále

This paper is focused on macroeconomic effects of fiscal and monetary policy in the Czech economy. We are using a Structural Vector Autoregression model (SVAR) for small open economy. The model includes six variables, specifically: government spending, government revenues, inflation, GDP, exchange and interest rates. Furthermore, the model is enriched with debt constraints over time. We investigate the dynamic responses of output, inflation and the interest rate to changes in government spending and revenues and analyze the contribution of shocks to business cycle in the Czech economy for the period 1999:Q1 – 2014:Q1. The results for the Czech economy are similar to the results for other small open economies described in current literature. Fiscal policy during the estimated period is analyzed through historical shock decomposition. Our findings are that GDP decreases in reaction to fiscal shock and monetary variables show negligible reaction to the same shock. We identified the periods of business cycle, where the effects of fiscal policy were procyclical and countercyclical.

Návaznosti

MUNI/A/0811/2013, interní kód MU

Název: Hospodářská politika v EU a ČR

Investor: Masarykova univerzita, Hospodářská politika v EU a ČR, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

MUNI/A/1121/2014, interní kód MU

Název: Analýza chování ekonomiky během hospodářského cyklu pomocí dynamických makroekonomických modelů

Investor: Masarykova univerzita, Analýza chování ekonomiky během hospodářského cyklu pomocí dynamických makroekonomických modelů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

BAĎO, Peter, Vlastimil REICHEL a Miroslav HLOUŠEK. The Effects of Fiscal Policy on Business Cycle: Evidence from SVAR Model with Debt Constraints. Online. In Kapounek, S. Proceedings of 18th International Conference Enterprise and Competitive Environment. Brno: Mendel University, 2015, s. 27-35. ISBN 978-80-7509-342-4.

@inproceedings{1313116,
   author = {Baďo, Peter and Reichel, Vlastimil and Hloušek, Miroslav},
   address = {Brno},
   booktitle = {Proceedings of 18th International Conference Enterprise and Competitive Environment},
   editor = {Kapounek, S.},
   keywords = {structural vector autoregression; fiscal and monetary policy; debt},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-7509-342-4},
   pages = {27-35},
   publisher = {Mendel University},
   title = {The Effects of Fiscal Policy on Business Cycle: Evidence from SVAR Model with Debt Constraints},
   url = {https://ece.pefka.mendelu.cz/sites/default/files/ece_2015_final.pdf},
   year = {2015}
}

TY  - JOUR
ID  - 1313116
AU  - Baďo, Peter - Reichel, Vlastimil - Hloušek, Miroslav
PY  - 2015
TI  - The Effects of Fiscal Policy on Business Cycle: Evidence from SVAR Model with Debt Constraints
PB  - Mendel University
CY  - Brno
SN  - 9788075093424
KW  - structural vector autoregression
KW  - fiscal and monetary policy
KW  - debt
UR  - https://ece.pefka.mendelu.cz/sites/default/files/ece_2015_final.pdf
L2  - https://ece.pefka.mendelu.cz/sites/default/files/ece_2015_final.pdf
N2  - This paper is focused on macroeconomic effects of fiscal and monetary policy in the Czech economy. We are using a Structural Vector Autoregression model (SVAR) for small open economy. The model includes six variables, specifically: government spending, government revenues, inflation, GDP, exchange and interest rates. Furthermore, the model is enriched with debt constraints over time. We investigate the dynamic responses of output, inflation and the interest rate to changes in government spending and revenues and analyze the contribution of shocks to business cycle in the Czech economy for the period 1999:Q1 – 2014:Q1. The results for the Czech economy are similar to the results for other small open economies described in current literature. Fiscal policy during the estimated period is analyzed through historical shock decomposition. Our findings are that GDP decreases in reaction to fiscal shock and monetary variables show negligible reaction to the same shock. We identified the periods of business cycle, where the effects of fiscal policy were procyclical and countercyclical.
ER  -

BAĎO, Peter, Vlastimil REICHEL a Miroslav HLOUŠEK. The Effects of Fiscal Policy on Business Cycle: Evidence from SVAR Model with Debt Constraints. Online. In Kapounek, S. \textit{Proceedings of 18th International Conference Enterprise and Competitive Environment}. Brno: Mendel University, 2015, s.~27-35. ISBN~978-80-7509-342-4.

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