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Output responses to public investment in Eurozone countries: Evidence from a TVP-VAR model

  • Fiscal policy is back in the academic and policy discussion as a tool to stabilize business cycle fluctuations and to stimulate output, which in turn has resulted into a new generation of fiscal multiplier estimates. Recent research shows that the macroeconomic effects of fiscal policy are country-specific and potentially dependent on the state of the business cycle. Building upon the empirical literature on time-varying fiscal policy, I estimate the magnitude of public investment effects on output for 7 Eurozone countries, using a Bayesian time-varying parameters vector autoregression (TVP-VAR). The results show that public investment shocks have a positive effect on output growth in all countries; while the effect remained constant over time in Finland, France, Germany and the Netherlands, it exhibits time-variation in Italy, Spain and Portugal. The empirical evidence also suggests that public investment effects might not necessarily depend on the state of the business cycle, as they could also remain stable over time or vary due to other macroeconomic factors.

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Metadaten
Author:Leonardo David Quero Virla
Referee:Eckhard Hein
Advisor:Sebastian Gechert
Document Type:Master's Thesis
Language:English
Date of first Publication:2020/08/28
Publishing Institution:Hochschulbibliothek HWR Berlin
Granting Institution:Hochschule für Wirtschaft und Recht Berlin
Date of final exam:2020/01/22
Release Date:2020/08/28
Tag:Bayesian; fiscal policy; public investment; time-varying parameters; vector autoregression
Page Number:44
Institutes:FB I - Wirtschaftswissenschaften / International Economics M.A.
Licence (German):License LogoUrheberrechtsschutz