The effects of fiscal policy shocks on the business environment
Abstract
Fiscal policy influences economic conditions through public spending and taxes, generating positive or negative impulses, both on short and long term. The present research focuses on analysing the effects of the discretionary changes in the fiscal policy in seven post-communist countries of the European Union during the period 2000–2018. The autoregressive distributed lag model (ARDL) has been applied in order to obtain the convergence rates to equilibrium with a clear analysis of the periods needed to achieve the long-run fiscal sustainability. Also, the error correction vector model (VECM), which is based on the autoregressive vector (VAR) model, has been used in the second part of the analysis focusing on the Cholesky factorization of innovations. Impulse-response functions aiming to estimate the response of government expenditures to the shock produced by three macroeconomic variables have been identified.
Keyword : fiscal policy, business environment, autoregressive distributed lag model, macroeconomic variables, impulse response function, convergence rates
How to Cite
Dobrotă, G., Voda, A. D., & Dumitrașcu, D. D. (2021). The effects of fiscal policy shocks on the business environment. Journal of Business Economics and Management, 22(4), 1084-1103. https://doi.org/10.3846/jbem.2021.15315
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Cavaliere, G., Rahbek, A., & Taylor, A. R. (2012). Bootstrap determination of the co‐integration rank in vector autoregressive models. Econometrica, 80(4), 1721–1740. https://doi.org/10.3982/ECTA9099
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Ferede, E., & Dahlby, B. (2016). Cutting provincial corporate income tax rates to promote investment, employment and economic growth. SPP Research Paper, 8(8), 1–6. https://www.policyschool.ca/wp-content/uploads/2016/05/cutting-provincial-cits-ferede-dahlby.pdf
Gadatsch, N., Hauzenberger, K., & Stähler, N. (2016). Fiscal policy during the crisis: A look on Germany and the Euro area with GEAR. Economic Modelling, 52(Part B), 997–1016. https://doi.org/10.1016/j.econmod.2015.10.038
Gechert, S. (2015). What fiscal policy is most effective? A meta-regression analysis. Oxford Economic Papers, 67(3), 553–580. https://doi.org/10.1093/oep/gpv027
Golinelli, R., Mammi, I., & Musolesi, A. (2018, April 24). Parameter heterogeneity, persistence and crosssectional dependence: New insights on fiscal policy reaction functions for the Euro Area (Quaderni – Working Paper DSE, 1120). https://doi.org/10.2139/ssrn.3156879
Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships. Journal of Econometrics, 60(1–2), 203–233. https://doi.org/10.1016/0304-4076(94)90044-2
Hamilton, J. D. (1994). Time series analysis (Vol. 2, pp. 690–696). Princeton University Press.
Heinemann, F., Moessinger, M., D., & Yeter, M. (2018). Do fiscal rules constrain fiscal policy? A metaregression-analysis. European Journal of Political Economy, 51, 69–92. https://doi.org/10.1016/j.ejpoleco.2017.03.008
Honda, J., Miyamoto, H., & Taniguchi, M. (2020, January). Exploring the output effect of fiscal policy shocks in low income countries (IMF Working Paper No. 20/12). https://doi.org/10.5089/9781513526034.001
Johannsen, B. K. (2014, May 22). When are the effects of fiscal policy uncertainty large? (Finance and Economics Discussion Series (FEDS) 2014-40). https://www.federalreserve.gov/pubs/feds/2014/201440/201440pap.pdf
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Jordà, Ò., & Taylor, A. M. (2015). The time for austerity: Estimating the average treatment effect of fiscal policy. The Economic Journal, 126(590), 219–255. https://doi.org/10.1111/ecoj.12332
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Palley, T. I. (2015). Money, fiscal policy, and interest rates: A critique of modern monetary theory. Review of Political Economy, 27(1), 1–23. https://doi.org/10.1080/09538259.2014.957466
Peren Arin, K., Braunfels, E., & Doppelhofer, G. (2019, December). Revisiting the growth effects of fiscal policy: A Bayesian model averaging approach. Journal of Macroeconomics, 62, 103158. https://doi.org/10.1016/j.jmacro.2019.103158
Perotti, R. (2004, December). Estimating the effects of fiscal policy in OECD countries (IGIER Working Paper 276). https://doi.org/10.2139/ssrn.637189
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Pesaran, M. H., Shin, Y., & Smith, R. J. (2001) Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
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Romer, D. (2011, March). What have we learned about fiscal policy from the crisis. In International Monetary Fund Conference on Macro and Growth Policies in the Wake of the Crisis. https://www.imf.org/external/np/seminars/eng/2011/res/pdf/DR3presentation.pdf
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Teles, V. K., & Mussolini, C. (2014). Public debt and the limits of fiscal policy to increase economic growth. European Economic Review, 66, 1–15. https://doi.org/10.1016/j.euroecorev.2013.11.003
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Afonso, A., & Sousa, R. (2009, January). The Macroeconomic effects of fiscal policy (ECB Working Paper series, No. 991). European Central Bank. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp991.pdf
Akerlof, G., Blanchard, O., Romer, D., & Stiglitz, J. (2014). What have we learned: Macroeconomic policy after the crisis. MIT Press. http://www.jstor.org/stable/j.ctt9qf899
Alexiou, C. (2009). Government spending and economic growth: Econometric evidence from the South Eastern Europe (SEE). Journal of Economic and Social Research, 11(1), 1–16. https://www.researchgate.net/publication/228647975_Government_Spending_and_Economic_Growth_Econometric_Evidence_from_the_South_Eastern_Europe_SEE
Alloza, M. (2017). A very short note on computing impulse response functions. University College, London. http://www.ucl.ac.uk/~uctp041/Teaching_files/Tutorial_IRF.pdf
Anzuini, A., Rossi, L., & Tommasino, P. (2020, September). Fiscal policy uncertainty and the business cycle: Time series evidence from Italy. Journal of Macroeconomics, 65, 103238. https://doi.org/10.1016/j.jmacro.2020.103238
Arnold, J. M., Brys, B., Heady, C., Johansson, A., Shwellius, C., & Vartia, L. (2011). Tax policy for economic growth. The Economic Journal, 121(550), F59–F80. https://doi.org/10.1111/j.1468-0297.2010.02415.x
Arpaia, A., & Turrini, A. (2007, March 29). Government expenditure and economic growth in the EU: Long-run tendencies and short-term adjustment. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2004461
Ban, C. (2014). Austerity versus Stimulus? Understanding fiscal policy change at the International Monetary Fund since the Great Recession. Governance, 28(2), 167–183. https://doi.org/10.1111/gove.12099
Baranowski, P., Krajewski, P., Mackiewicz, M., & Szymańska, A. (2016). The effectiveness of fiscal policy over the business cycle: A CEE perspective. Emerging Markets Finance and Trade, 52(8), 1910–1921. https://doi.org/10.1080/1540496X.2015.1046335
Benkwitz, A., Lütkepohl, H., & Wolters, J. (2001). Comparison of bootstrap confidence intervals for impulse responses of German monetary systems. Macroeconomic Dynamics, 5(1), 81–100. https://doi.org/10.1017/S1365100501018041
Bhandari, A., Evans, D., Golosov, M., & Sargent, T. J. (2017). Fiscal policy and debt management with incomplete markets. The Quarterly Journal of Economics, 132(2), 617–663. https://doi.org/10.1093/qje/qjw041
Blanchard, O., & Perotti, R. (1999). An empirical characterization of the dynamic effects of changes in government spending and taxes on output (NBER Working Paper, 7269). National Bureau of Economic Research. https://doi.org/10.3386/w7269
Blinder, A. S. (2017). Keynesian economics. Concise encyclopedia of economics. Library of Economics and Liberty. https://www.econlib.org/library/Enc/KeynesianEconomics.html
Bodea, C., & Higashijima, M. (2017). Central Bank independence and fiscal policy: Can the Central Bank restrain deficit spending? British Journal of Political Science, 47(1), 47–70. https://doi.org/10.1017/S0007123415000058
Boiciuc, I. (2015). The effects of fiscal policy shocks in Romania. A SVAR Approach. Procedia Economics and Finance, 32, 1131–1139. https://doi.org/10.1016/S2212-5671(15)01578-6
Bova, E., Carcenac, N., & Guerguil, M. (2014, July 10). Fiscal rules and the procyclicality of fiscal policy in the developing world (IMF Working Paper, 2014/122). International Monetary Fund. https://doi.org/10.5089/9781498305525.001
Bwire, T., Lloyd, T., & Morrissey, O. (2017). Fiscal reforms and the fiscal effects aid in Uganda. The Journal of Development Studies, 53(7), 1019–1036. https://doi.org/10.1080/00220388.2017.1303677
Campeanu, E., & Stoian, A. (2010). Fiscal policy reaction in the short term for assessing fiscal sustainability in the long runin Central and Eastern European countries. Czech Journal of Economics and Finance (Finance a uver), 60(6), 501–518. https://ideas.repec.org/a/fau/fauart/v60y2010i6p501-518.html
Cavaliere, G., Rahbek, A., & Taylor, A. R. (2012). Bootstrap determination of the co‐integration rank in vector autoregressive models. Econometrica, 80(4), 1721–1740. https://doi.org/10.3982/ECTA9099
Creswell, J. W., & Plano Clark, V. L. (2017, September). Designing and conducting mixed methods research (3rd ed.). Sage publications. https://us.sagepub.com/en-us/nam/designing-and-conductingmixed-methods-research/book241842#resources
Downs, A. (1957). An economic theory of democracy (1st ed.). Harper & Row Publisher. https://www.amazon.com/Economic-Theory-Democracy-Anthony-Downs/dp/0060417501
Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55(2), 251–276. https://doi.org/10.2307/1913236
Ferede, E., & Dahlby, B. (2016). Cutting provincial corporate income tax rates to promote investment, employment and economic growth. SPP Research Paper, 8(8), 1–6. https://www.policyschool.ca/wp-content/uploads/2016/05/cutting-provincial-cits-ferede-dahlby.pdf
Gadatsch, N., Hauzenberger, K., & Stähler, N. (2016). Fiscal policy during the crisis: A look on Germany and the Euro area with GEAR. Economic Modelling, 52(Part B), 997–1016. https://doi.org/10.1016/j.econmod.2015.10.038
Gechert, S. (2015). What fiscal policy is most effective? A meta-regression analysis. Oxford Economic Papers, 67(3), 553–580. https://doi.org/10.1093/oep/gpv027
Golinelli, R., Mammi, I., & Musolesi, A. (2018, April 24). Parameter heterogeneity, persistence and crosssectional dependence: New insights on fiscal policy reaction functions for the Euro Area (Quaderni – Working Paper DSE, 1120). https://doi.org/10.2139/ssrn.3156879
Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships. Journal of Econometrics, 60(1–2), 203–233. https://doi.org/10.1016/0304-4076(94)90044-2
Hamilton, J. D. (1994). Time series analysis (Vol. 2, pp. 690–696). Princeton University Press.
Heinemann, F., Moessinger, M., D., & Yeter, M. (2018). Do fiscal rules constrain fiscal policy? A metaregression-analysis. European Journal of Political Economy, 51, 69–92. https://doi.org/10.1016/j.ejpoleco.2017.03.008
Honda, J., Miyamoto, H., & Taniguchi, M. (2020, January). Exploring the output effect of fiscal policy shocks in low income countries (IMF Working Paper No. 20/12). https://doi.org/10.5089/9781513526034.001
Johannsen, B. K. (2014, May 22). When are the effects of fiscal policy uncertainty large? (Finance and Economics Discussion Series (FEDS) 2014-40). https://www.federalreserve.gov/pubs/feds/2014/201440/201440pap.pdf
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. https://doi.org/10.1016/0165-1889(88)90041-3
Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580. https://doi.org/10.2307/2938278
Jordà, Ò., & Taylor, A. M. (2015). The time for austerity: Estimating the average treatment effect of fiscal policy. The Economic Journal, 126(590), 219–255. https://doi.org/10.1111/ecoj.12332
Karagyozova-Markova, K., Deyanov, G., & Iliev, V. (2013, December). Fiscal policy and economic growth in Bulgaria (Discussion papers DP/90/2013). Bulgarian National Bank. https://www.bnb.bg/bnbweb/groups/public/documents/bnb_publication/discussion_2013_90_en.pdf
Leeper, E. M. (2017, July). Monetary-fiscal policy interactions. Testimony before the subcommittee on monetary policy and trade committee on financial services. U.S. House of Representatives. https://financialservices.house.gov/uploadedfiles/07.20.2017_eric_leeper_testimony.pdf
Liew, V. K. S. (2004). Which lag length selection criteria should we employ? Economics Bulletin, 3(33), 1–9. https://econpapers.repec.org/article/eblecbull/eb-04c20021.htm
Mertens, K. R. S. M., & Ravn, M. (2014). Fiscal policy in an expectations-driven liquidity trap. The Review of Economic Studies, 81(4), 1637–1667. https://doi.org/10.1093/restud/rdu016
Mirdala, R. (2009, October). Effects of fiscal policy shocks in the European transition economies (MPRA Paper 19481). https://mpra.ub.uni-muenchen.de/19481/1/MPRA_paper_19481.pdf
Munir, K., & Riaz, N. (2019, May). Macroeconomic effects of foscal policy in Pakistan: A disaggregate analysis. Applied Economics, 51(52), 5652–5662. https://doi.org/10.1080/00036846.2019.1616074
O’Sullivan, A., & Sheffrin, S. M. (2003). Economics: Principles in action. Upper Saddle River. Prentice Hall. https://www.worldcat.org/title/economics-principles-in-action/oclc/50237774
Özer, M., & Karagöl, V. (2018). Relative effectiveness of monetary and fiscal policies on output growth in Turkey: an ARDL bounds test approach. Equilibrium. Quarterly Journal of Economics and Economic Policy, 13(3), 391–409. https://doi.org/10.24136/eq.2018.019
Palley, T. I. (2015). Money, fiscal policy, and interest rates: A critique of modern monetary theory. Review of Political Economy, 27(1), 1–23. https://doi.org/10.1080/09538259.2014.957466
Peren Arin, K., Braunfels, E., & Doppelhofer, G. (2019, December). Revisiting the growth effects of fiscal policy: A Bayesian model averaging approach. Journal of Macroeconomics, 62, 103158. https://doi.org/10.1016/j.jmacro.2019.103158
Perotti, R. (2004, December). Estimating the effects of fiscal policy in OECD countries (IGIER Working Paper 276). https://doi.org/10.2139/ssrn.637189
Pesaran, M. H., & Shin, Y. (1998). An autoregressive distributed-lag modelling approach to cointegration analysis. Econometric Society Monographs, 31, 371–413.
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001) Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
Pontus, R. (2016). Fiscal policy in an unemployment crisis. The Review of Economic Studies, 83(3), 1189–1224. https://doi.org/10.1093/restud/rdv058
Romer, D. (2011, March). What have we learned about fiscal policy from the crisis. In International Monetary Fund Conference on Macro and Growth Policies in the Wake of the Crisis. https://www.imf.org/external/np/seminars/eng/2011/res/pdf/DR3presentation.pdf
Salto, M. (2016, July). Fiscal policy after the crisis – Workshop Proceedings (Discussion Paper 35). European Comission. https://ec.europa.eu/info/publications/economy-finance/fiscal-policy-after-crisisworkshop-proceedings_en
Stockhammer, E., Qazizada, W., & Gechert, S. (2016, April). Demand effects of fiscal policy since 2008 (Working Paper No. 1607). Post Keynesian Economics Study Group. http://www.postkeynesian.net/downloads/working-papers/PKWP1607.pdf
Szymanska, A. (2018). Comparison of the stabilizing effects of government spending shocks in the Czech Republic, Hungary and Poland. Economic Research, 32(1), 2899–2923. https://doi.org/10.1080/1331677X.2019.1653783
Tabellini, G. (2016, April). Building common fiscal policy in the Eurozone. In R. Baldwin & F. Giavazzi (Eds.), How to fix Europe’s monetary union: Views of leading economists. CEPR Press. https://voxeu.org/article/building-common-fiscal-policy-eurozone
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