Threshold Model - Applied Economics Revised Version.pdf (419.91 kB)
Fiscal multipliers and the level of economic activity: a structural threshold VAR model for the UK
journal contribution
posted on 2019-11-06, 14:25 authored by Rozina Shaheen, Paul TurnerThis article examines the impact of fiscal policy shocks in the UK economy using a nonlinear structural threshold vector autoregression (TVAR) model which links Gross Domestic Product (GDP), government expenditure and tax receipts. The model is structural in the sense that the contemporaneous linkages between the variables are determined by economic theory and by our assumptions about the institutional structure of the tax and transfer system. This structure is also influenced by the state of the economy as measured by the deviation of GDP from the Hodrick-Prescott trend. We find that the state of the economy is important, with fiscal policy having very different multiplier effects during ‘boom’ periods relative to ‘normal’ periods. However, we find low values for the government expenditure multiplier in all regimes.
History
School
- Business and Economics
Department
- Economics
Published in
Applied EconomicsVolume
52Issue
17Pages
1857-1865Publisher
Taylor and FrancisVersion
- AM (Accepted Manuscript)
Rights holder
© Informa UK Limited, trading as Taylor & Francis GroupPublisher statement
This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 28 October 2019, available online: http://www.tandfonline.com/10.1080/00036846.2019.1679347.Acceptance date
2019-10-09Publication date
2019-10-28Copyright date
2020ISSN
0003-6846eISSN
1466-4283Publisher version
Language
- en
Depositor
Prof Paul Turner. Deposit date: 6 November 2019Usage metrics
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