| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Arcade Ndoricimpa | |
| dc.date.accessioned | 2023-11-01T10:23:52Z | - |
| dc.date.available | 2023-11-01T10:23:52Z | - |
| dc.date.issued | 2021 | |
| dc.identifier.isbn | 1981-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58652 | - |
| dc.description | economic management and policy | |
| dc.description.abstract | Purpose – This study reexamines the sustainability of fiscal policy in Sweden. Design/methodology/approach – To test the sustainability of fiscal policy, two approaches are used; the methodology of Kejriwal and Perron (2010), testing for multiple structural changes in a cointegrated regression model and time-varying cointegration test of Bierens and Martins (2010), and Martins (2015). Findings – Using the first approach of testing for multiple structural changes in a cointegrated regression model, the results indicate that government spending and revenue are cointegrated with two breaks. An estimation of a two-break long-run model shows that the slope coefficient increases from 0.678 to 0.892 from the first to the second regime, implying that fiscal deficits were weakly sustainable in the first two regimes, from 1800 to 1943, and from 1944 to 1974. Further, results from time-varying cointegration test indicate that cointegration between spending and revenue in Sweden is time-varying. Fiscal deficits were found to be unsustainable for the periods 1801–1811, 1831–1838, 1853–1860 , 1872–1882, 1897–1902, 1929–1940 and 1976– 1982 and weakly sustainable over the rest of the study period. Research limitations/implications – A number of implications arise from this study: (1) Accounting for breaks in cointegration analysis and in the estimation of the level relationship between spending and revenue is very important because ignoring breaks may lead to an overestimated slope coefficient and hence a bias on the magnitude of fiscal deficit sustainability. (2) In testing for cointegration between spending and revenue, assuming a constant cointegrating slope when it is actually time-varying can also be misleading because deficits can be sustainable for a period of time and unsustainable over another period. Originality/value – The contribution of this study is three-fold; first, the study uses a long series of annual data spanning over a period of two centuries, from 1800 to 2011. Second, because of the importance of structural change in economics, to examine the existence of a level relationship between spending and revenue, the study uses the methodology of Kejriwal and Perron (2010) to test for multiple structural changes in a cointegrated regression model, as well as time-varying cointegration of Bierens and Martins (2010) and Martins (2015). | |
| dc.description.tableofcontents | 1. Introduction; 2. Conceptual framework for testing fiscal deficit sustainability; 3. Methodology; 4. Presentation and interpretation of results; 5. Conclusion | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Fiscal deficits | |
| dc.subject | Multiple breaks | |
| dc.subject | Cointegration | |
| dc.subject | Time-varying cointegration | |
| dc.subject | Sweden | |
| dc.title | The sustainability of Swedish fiscal policy: a re-examination | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | 10-1108_JED-04-2020-0045 | |
| dc.relation.reference | Afonso, A. (2005), “Fiscal sustainability: the unpleasant european case”, FinanzArchiv: Public Finance Analysis, Vol. 61 No. 1, pp. 19-44. Afonso, A. and Jalles, J.T. (2015), “Fiscal sustainability: a panel assessment for advanced economies”, Applied Economics Letters, Vol. 22 No. 11, pp. 925-929. Arai, Y. and Kurozumi, E. (2007), “Testing for the null hypothesis of cointegration with a structural break”, Econometric Reviews, Vol. 26 No. 6, pp. 705-739. Arghyrou, M.G. and Luintel, K.B. (2007), “Government solvency: revisiting some EMU countries”, Journal of Macroeconomics, Vol. 29 No. 2, pp. 387-410. Bai, J. and Perron, P. (2003), “Computation and analysis of multiple structural change models”, Journal of Applied Econometrics, Vol. 18 No. 1, pp. 1-22. Bajo-Rubio, O., D ıaz-Rold an, C. and Esteve, V. (2010), “On the sustainability of government deficits: some long-term evidence for Spain, 1850-2000”, Journal of Applied Economics, Vol. 13 No. 2, pp. 263-281. Baum, C.F. (2001), “STATA: the language of choice for time series analysis?”, STATA Journal, Vol. 1 No. 1, pp. 1-16. Bergmark, A. and Palme, J. (2003), “Welfare and the unemployment crisis: Sweden in the 1990s”, International Journal of Social Welfare, Vol. 12 No. 2, pp. 108-122. Bierens, H. and Martins, L.F. (2010), “Time-varying cointegration”, Econometric Theory, Vol. 26 No. 5, pp. 1453-1490. Bohn, H. (1998), “The behavior of US public debt and deficits”, The Quarterly Journal of Economics, Vol. 113 No. 3, pp. 949-963. Bohn, H. (2007), “Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint?”, Journal of Monetary Economics, Vol. 54 No. 7, pp. 1837-1847. Brady, G.L. and Magazzino, C. (2019), “The sustainability of Italian fiscal policy: myth or reality?”, Economic Research, Vol. 32 No. 1, pp. 772-796. Bravo, A.B.S. and Silvestre, A.L. (2003), “ Intertemporal sustainability of fiscal policies: some tests for European countr ies” , European Journal of Political Economy, Vol. 18 No. 3, pp. 517-528. Claeys, P. (2007), “Sustainability of EU fiscal policies: a panel test”, Journal of Economic Integration, Vol. 22 No. 1, pp. 112-127. Clemente Lopez, J., Montanes, A. and Reyes, M. (1998), “Testing for a unit root in variables with a double change in the mean”, Economics Letters, Vol. 59 No. 2, pp. 175-182. Dulger, F. (2016),€ “The sustainability of current account in the presence of endogenous multiple structural breaks: evidence from developed and developing countries”, Panoeconomicus, Vol. 63 No. 3, pp. 339-358. Engle, R.F. and Granger, C.W.J. (1987), “Co-Integration and error correction: representation, estimation, and testing”, Econometrica, Vol. 55 No. 2, pp. 251-276. Esteve, V., Navarro-Ib anez, M. and Prats, M. (2020),~ “Stock prices, dividends, and structural changes in the long-term: the case of U.S”, The North American Journal of Economics and Finance, Vol. 52, pp. 101-126. Fredrik, A. and Lars, J. (2019), “The Swedish fiscal framework – the most successful one in the EU?”, Working Papers 6, Lund University, Department of Economics, Lund, 2019. Gabriel, V.J. and Martins, L.F. (2011), “Cointegration tests under multiple regime shifts: an application to the stock price–dividend relationship”, Empirical Economics, Vol. 41, pp. 639-66. Gogolin, F., Kearney, F.J., Lucey, B.M., Peat, M. and Vigne, S. (2018), “Uncovering long term relationships between oil prices and the economy: a time-varying cointegration cnalysis”, Leeds University Business School Working Paper No. 18-14; QMS Research Paper 2018/04, available at: https://ssrn.com/abstract53242941 or http://dx.doi.org/10.2139/ssrn.3242941. Gregory, A.W. and Hansen, B.E. (1996a), “Residual-based tests for cointegration in models with regime shifts”, Journal of Econometrics, Vol. 70 No. 1, pp. 99-126. Gregory, A.W. and Hansen, B.E. (1996b), “Tests for cointegration in models with regime and trend shifts”, Oxford Bulletin of Economics and Statistics, Vol. 58 No. 3, pp. 555-560. Hakkio, Craig S. and Rush, M. (1991), “Is the budget deficit too large?”, Economic Inquiry, Vol. 29 No. 3, pp. 429-445. Hatemi, J.A. (2002a), “Fiscal policy in Sweden: effects of EMU criteria convergence”, Economic Modelling, Vol. 19, pp. 121-136. Hatemi, J.A. (2002b), “Is the Government’s intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter”, Applied Economics Letters, Vol. 9 No. 7, pp. 433-439. Hatemi, J.A. (2008), “Tests for cointegration with two unknown regime shifts with an application to financial market integration”, Empirical Economics, Vol. 35 No. 3, pp. 497-505. Irandoust, M. (2018), “Government spending and revenues in Sweden 1722–2011: evidence from hidden cointegration”, Empirica, Vol. 45, pp. 543-557. Kejriwal, M. (2008), “Cointegration with structural breaks: an application to the Feldstein-Horioka puzzle”, Studies in Nonlinear Dynamics and Econometrics, Vol. 12 No. 1, pp. 1-39. Kejriwal, M. and Perron, P. (2010), “Testing for multiple structural changes in cointegrated regression models”, Journal of Business and Economic Statistics, Vol. 28 No. 4, pp. 503-522. Kopits, G. (2011), “Independent fiscal institutions: developing good practices”, OECD Journal on Budgeting, Vols 11-3, doi: 10.1787/budget-11-5kg3pdgcpn42. Lee, J. and Strazicich, M. (2003), “Minimum Lagrange multiplier unit root test with two structural breaks”, The Review of Economics and Statistics, Vol. 85 No. 4, pp. 1082-1089. Liu, L., Wu, S. and Zidek, J.V. (1997), “On segmented multivariate regression”, Statistica Sinica, Vol. 7, pp. 497-525. Martins, L.F. (2015), “Bootstrap tests for time varying cointegration”, Econometric Reviews, Vol. 37 No. 5, pp. 466-483. Mauro, P., Romeu, R., Binder, A. and Zaman, A. (2013), “ A modern history of fiscal prudence and profligacy” , IMF Working Paper No. 13-5, International Monetary Fund, Washington, DC. Mercan, M. (2014), “ Are Budget deficits sustainable? An empirical analysis for OECD countr ies” , Procedia - Social and Behavioral Sciences, Vol. 131, pp. 258-263. Merrifield, J. and Poulson, B. (2016), “Swedish and Swiss fiscal-rule outcomes contain key lessons for the United States”, The Independent Review, Vol. 21 No. 2, pp. 251-274. Miyazaki, T. (2014), “Fiscal reform and fiscal sustainability: evidence from Australia and Sweden”, International Review of Economics and Finance, Vol. 33 No. C, pp. 141-151. Ng, S. and Perron, P. (2001), “LAG length selection and the construction of unit root tests with good size and power”, Econometrica, Vol. 69 No. 6, pp. 1519-1554. Perron, P. and Ng, S. (1996), “Useful modifications to some unit root tests with dependent errors and their local asymptotic properties”, Review of Economic Studies, Vol. 63 No. 3, pp. 435-463. Phillips, P. and Ouliaris, S. (1988), “Testing for cointegration using principal components methods”, Journal of Economic Dynamics and Control, Vol. 12 No. 2-3, pp. 205-230. Quintos, C.E. (1995), “Sustainability of the deficit process with structural shifts”, Journal of Business and Economic Statistics, Vol. 13 No. 4, pp. 409-417. Trehan, B. and Walsh, C.E. (1991), “Testing intertemporal budget constraints: theory and applications to US federal budget and current account deficits”, Journal of Money, Credit, and Banking, Vol. 23 No. 2, pp. 206-223. Trehan, B. and Walsh, C.E. (1988), “Common trends, the government’s budget constraint, and revenue smoothing”, Journal of Economic Dynamics and Control, Vol. 12 No. 2, pp. 425-444. Zivot, E. and Andrews, D. (1992), “Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis”, Journal of Business and Economic Statistics, Vol. 10 No. 3, pp. 251-270. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
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| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Arcade Ndoricimpa | |
| dc.date.accessioned | 2023-11-01T10:23:52Z | - |
| dc.date.available | 2023-11-01T10:23:52Z | - |
| dc.date.issued | 2021 | |
| dc.identifier.isbn | 1981-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58652 | - |
| dc.description | economic management and policy | |
| dc.description.abstract | Purpose – This study reexamines the sustainability of fiscal policy in Sweden. Design/methodology/approach – To test the sustainability of fiscal policy, two approaches are used; the methodology of Kejriwal and Perron (2010), testing for multiple structural changes in a cointegrated regression model and time-varying cointegration test of Bierens and Martins (2010), and Martins (2015). Findings – Using the first approach of testing for multiple structural changes in a cointegrated regression model, the results indicate that government spending and revenue are cointegrated with two breaks. An estimation of a two-break long-run model shows that the slope coefficient increases from 0.678 to 0.892 from the first to the second regime, implying that fiscal deficits were weakly sustainable in the first two regimes, from 1800 to 1943, and from 1944 to 1974. Further, results from time-varying cointegration test indicate that cointegration between spending and revenue in Sweden is time-varying. Fiscal deficits were found to be unsustainable for the periods 1801–1811, 1831–1838, 1853–1860 , 1872–1882, 1897–1902, 1929–1940 and 1976– 1982 and weakly sustainable over the rest of the study period. Research limitations/implications – A number of implications arise from this study: (1) Accounting for breaks in cointegration analysis and in the estimation of the level relationship between spending and revenue is very important because ignoring breaks may lead to an overestimated slope coefficient and hence a bias on the magnitude of fiscal deficit sustainability. (2) In testing for cointegration between spending and revenue, assuming a constant cointegrating slope when it is actually time-varying can also be misleading because deficits can be sustainable for a period of time and unsustainable over another period. Originality/value – The contribution of this study is three-fold; first, the study uses a long series of annual data spanning over a period of two centuries, from 1800 to 2011. Second, because of the importance of structural change in economics, to examine the existence of a level relationship between spending and revenue, the study uses the methodology of Kejriwal and Perron (2010) to test for multiple structural changes in a cointegrated regression model, as well as time-varying cointegration of Bierens and Martins (2010) and Martins (2015). | |
| dc.description.tableofcontents | 1. Introduction; 2. Conceptual framework for testing fiscal deficit sustainability; 3. Methodology; 4. Presentation and interpretation of results; 5. Conclusion | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Fiscal deficits | |
| dc.subject | Multiple breaks | |
| dc.subject | Cointegration | |
| dc.subject | Time-varying cointegration | |
| dc.subject | Sweden | |
| dc.title | The sustainability of Swedish fiscal policy: a re-examination | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | 10-1108_JED-04-2020-0045 | |
| dc.relation.reference | Afonso, A. (2005), “Fiscal sustainability: the unpleasant european case”, FinanzArchiv: Public Finance Analysis, Vol. 61 No. 1, pp. 19-44. Afonso, A. and Jalles, J.T. (2015), “Fiscal sustainability: a panel assessment for advanced economies”, Applied Economics Letters, Vol. 22 No. 11, pp. 925-929. Arai, Y. and Kurozumi, E. (2007), “Testing for the null hypothesis of cointegration with a structural break”, Econometric Reviews, Vol. 26 No. 6, pp. 705-739. Arghyrou, M.G. and Luintel, K.B. (2007), “Government solvency: revisiting some EMU countries”, Journal of Macroeconomics, Vol. 29 No. 2, pp. 387-410. Bai, J. and Perron, P. (2003), “Computation and analysis of multiple structural change models”, Journal of Applied Econometrics, Vol. 18 No. 1, pp. 1-22. Bajo-Rubio, O., D ıaz-Rold an, C. and Esteve, V. (2010), “On the sustainability of government deficits: some long-term evidence for Spain, 1850-2000”, Journal of Applied Economics, Vol. 13 No. 2, pp. 263-281. Baum, C.F. (2001), “STATA: the language of choice for time series analysis?”, STATA Journal, Vol. 1 No. 1, pp. 1-16. Bergmark, A. and Palme, J. (2003), “Welfare and the unemployment crisis: Sweden in the 1990s”, International Journal of Social Welfare, Vol. 12 No. 2, pp. 108-122. Bierens, H. and Martins, L.F. (2010), “Time-varying cointegration”, Econometric Theory, Vol. 26 No. 5, pp. 1453-1490. Bohn, H. (1998), “The behavior of US public debt and deficits”, The Quarterly Journal of Economics, Vol. 113 No. 3, pp. 949-963. Bohn, H. (2007), “Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint?”, Journal of Monetary Economics, Vol. 54 No. 7, pp. 1837-1847. Brady, G.L. and Magazzino, C. (2019), “The sustainability of Italian fiscal policy: myth or reality?”, Economic Research, Vol. 32 No. 1, pp. 772-796. Bravo, A.B.S. and Silvestre, A.L. (2003), “ Intertemporal sustainability of fiscal policies: some tests for European countr ies” , European Journal of Political Economy, Vol. 18 No. 3, pp. 517-528. Claeys, P. (2007), “Sustainability of EU fiscal policies: a panel test”, Journal of Economic Integration, Vol. 22 No. 1, pp. 112-127. Clemente Lopez, J., Montanes, A. and Reyes, M. (1998), “Testing for a unit root in variables with a double change in the mean”, Economics Letters, Vol. 59 No. 2, pp. 175-182. Dulger, F. (2016),€ “The sustainability of current account in the presence of endogenous multiple structural breaks: evidence from developed and developing countries”, Panoeconomicus, Vol. 63 No. 3, pp. 339-358. Engle, R.F. and Granger, C.W.J. (1987), “Co-Integration and error correction: representation, estimation, and testing”, Econometrica, Vol. 55 No. 2, pp. 251-276. Esteve, V., Navarro-Ib anez, M. and Prats, M. (2020),~ “Stock prices, dividends, and structural changes in the long-term: the case of U.S”, The North American Journal of Economics and Finance, Vol. 52, pp. 101-126. Fredrik, A. and Lars, J. (2019), “The Swedish fiscal framework – the most successful one in the EU?”, Working Papers 6, Lund University, Department of Economics, Lund, 2019. Gabriel, V.J. and Martins, L.F. (2011), “Cointegration tests under multiple regime shifts: an application to the stock price–dividend relationship”, Empirical Economics, Vol. 41, pp. 639-66. Gogolin, F., Kearney, F.J., Lucey, B.M., Peat, M. and Vigne, S. (2018), “Uncovering long term relationships between oil prices and the economy: a time-varying cointegration cnalysis”, Leeds University Business School Working Paper No. 18-14; QMS Research Paper 2018/04, available at: https://ssrn.com/abstract53242941 or http://dx.doi.org/10.2139/ssrn.3242941. Gregory, A.W. and Hansen, B.E. (1996a), “Residual-based tests for cointegration in models with regime shifts”, Journal of Econometrics, Vol. 70 No. 1, pp. 99-126. Gregory, A.W. and Hansen, B.E. (1996b), “Tests for cointegration in models with regime and trend shifts”, Oxford Bulletin of Economics and Statistics, Vol. 58 No. 3, pp. 555-560. Hakkio, Craig S. and Rush, M. (1991), “Is the budget deficit too large?”, Economic Inquiry, Vol. 29 No. 3, pp. 429-445. Hatemi, J.A. (2002a), “Fiscal policy in Sweden: effects of EMU criteria convergence”, Economic Modelling, Vol. 19, pp. 121-136. Hatemi, J.A. (2002b), “Is the Government’s intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter”, Applied Economics Letters, Vol. 9 No. 7, pp. 433-439. Hatemi, J.A. (2008), “Tests for cointegration with two unknown regime shifts with an application to financial market integration”, Empirical Economics, Vol. 35 No. 3, pp. 497-505. Irandoust, M. (2018), “Government spending and revenues in Sweden 1722–2011: evidence from hidden cointegration”, Empirica, Vol. 45, pp. 543-557. Kejriwal, M. (2008), “Cointegration with structural breaks: an application to the Feldstein-Horioka puzzle”, Studies in Nonlinear Dynamics and Econometrics, Vol. 12 No. 1, pp. 1-39. Kejriwal, M. and Perron, P. (2010), “Testing for multiple structural changes in cointegrated regression models”, Journal of Business and Economic Statistics, Vol. 28 No. 4, pp. 503-522. Kopits, G. (2011), “Independent fiscal institutions: developing good practices”, OECD Journal on Budgeting, Vols 11-3, doi: 10.1787/budget-11-5kg3pdgcpn42. Lee, J. and Strazicich, M. (2003), “Minimum Lagrange multiplier unit root test with two structural breaks”, The Review of Economics and Statistics, Vol. 85 No. 4, pp. 1082-1089. Liu, L., Wu, S. and Zidek, J.V. (1997), “On segmented multivariate regression”, Statistica Sinica, Vol. 7, pp. 497-525. Martins, L.F. (2015), “Bootstrap tests for time varying cointegration”, Econometric Reviews, Vol. 37 No. 5, pp. 466-483. Mauro, P., Romeu, R., Binder, A. and Zaman, A. (2013), “ A modern history of fiscal prudence and profligacy” , IMF Working Paper No. 13-5, International Monetary Fund, Washington, DC. Mercan, M. (2014), “ Are Budget deficits sustainable? An empirical analysis for OECD countr ies” , Procedia - Social and Behavioral Sciences, Vol. 131, pp. 258-263. Merrifield, J. and Poulson, B. (2016), “Swedish and Swiss fiscal-rule outcomes contain key lessons for the United States”, The Independent Review, Vol. 21 No. 2, pp. 251-274. Miyazaki, T. (2014), “Fiscal reform and fiscal sustainability: evidence from Australia and Sweden”, International Review of Economics and Finance, Vol. 33 No. C, pp. 141-151. Ng, S. and Perron, P. (2001), “LAG length selection and the construction of unit root tests with good size and power”, Econometrica, Vol. 69 No. 6, pp. 1519-1554. Perron, P. and Ng, S. (1996), “Useful modifications to some unit root tests with dependent errors and their local asymptotic properties”, Review of Economic Studies, Vol. 63 No. 3, pp. 435-463. Phillips, P. and Ouliaris, S. (1988), “Testing for cointegration using principal components methods”, Journal of Economic Dynamics and Control, Vol. 12 No. 2-3, pp. 205-230. Quintos, C.E. (1995), “Sustainability of the deficit process with structural shifts”, Journal of Business and Economic Statistics, Vol. 13 No. 4, pp. 409-417. Trehan, B. and Walsh, C.E. (1991), “Testing intertemporal budget constraints: theory and applications to US federal budget and current account deficits”, Journal of Money, Credit, and Banking, Vol. 23 No. 2, pp. 206-223. Trehan, B. and Walsh, C.E. (1988), “Common trends, the government’s budget constraint, and revenue smoothing”, Journal of Economic Dynamics and Control, Vol. 12 No. 2, pp. 425-444. Zivot, E. and Andrews, D. (1992), “Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis”, Journal of Business and Economic Statistics, Vol. 10 No. 3, pp. 251-270. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
