Open Access Open Access  Restricted Access Subscription Access

Fiscal Implications, Misspecified Dynamics, and International Spillover Effects across Europe: A Time-varying Multicountry Analysis

Antonio Pacifico

Abstract



Nowadays, macroeconomic-financial analyses and policy evaluations have given new stimulus to the study of business cycles, shock transmission, and policy-making. In this paper, a time-varying Structural Panel Bayesian VAR (SPBVAR) model is assessed in order to
study international spillover effects, financial integration, and fiscal implications in multicountry dynamic panel setups. The SPBVAR model contains 20 country-specific models, including the United States, 12 European advanced economies, and 7 European emerging
economies. Homogeneity, commonality, and interdependence are also identified in a unified framework, with particular emphasis on the recent financial crisis and successive consolidation periods. Evidence reveals heterogeneity across countries, but with a considerable
common component because of consistent interdependencies. The results indicate that the intensity of spillovers sufficiently decreases behind more coordinated fiscal actions. Nevertheless, additional economic and institutional factors needed to be addressed in order
to jointly deal with unobserved heterogeneity and model misspecification problems.

Keywords


Panel VAR, Bayesian Inference, International Spillover Effects, Fiscal Implications, Hierarchical Priors, MCMC Implementations.

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.