Fiscal policies, output growth and financial stress regimes: a threshold VAR approach
Bizzaro, Loris (A.A. 2021/2022) Fiscal policies, output growth and financial stress regimes: a threshold VAR approach. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 111. [Master's Degree Thesis]
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Abstract/Index
Vector autoregressive models in macroeconomic and fiscal policy analysis: a literature review. Linear VAR models. Linear VAR models in fiscal policy analysis. Non-linearities within VAR analysis: disproportionality, asymmetry and initial conditions. Non-linear VAR models: the TVAR and the MSVAR. Fiscal policy and financial instability. Non-linear VAR models in fiscal policy analysis. Methodology. The benchmark VAR model. The TVAR model. Testing nonlinearity. Estimation technique. Identification. Linear impulse response functions. Generalized impulse response functions. Forecast error variance decompositions. Generalized forecast error variance decompositions. Variables and data. Data and preliminary analysis. Output growth. Inflation. The fiscal variable. Fiscal developments’ overview. Short-term interest rate. Country-level index of financial stress. Results. Testing and estimation results. The effects of fiscal shocks. Contribution of fiscal shocks.
References
Bibliografia: pp. 72-79.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Carlini, Federico Carlo Eugenio |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Oct 2022 12:35 |
| Last Modified: | 03 Oct 2022 12:35 |
| URI: | https://tesi.luiss.it/id/eprint/33511 |
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