Test de l’effet de stabilisation automatique par la modélisation SVAR sans contrainte de long terme

Ghassan, Hassan B. (2003): Test de l’effet de stabilisation automatique par la modélisation SVAR sans contrainte de long terme.

Abstract

The purpose of this paper is to test the mechanism of automatic stabilization between the dynamics of real GDP-growth and budget deficit by using structural VAR methodology with quarterly macroeconomic data of Moroccan economy. The SVAR model allows us to test and evaluate the extent of those mechanisms. It exhibits also the conjunctural and structural components of budget deficit. From a methodological point of view, we avoid to impose long run constraints to adopt simple and efficient approach linking the short-term parameters. The empirical results show that the mechanisms of automatic stabilizing are checked in our sample. The historical decomposition permits us to determine the orientation of budget policy. This decomposition shows that since the finance crisis in 1983 the government respects in tendency a budgetary rule in the sense that the observed balance reflects automatic stabilization measures both of transitory and permanent nature.

• Item Type: MPRA Paper
• English Title: Testing the Automatic Stabilization Effect: Evidence from SVAR Model without Long-Term Constraint
• Language: French
• Keywords: Budget deficit, economic growth, automatic stabilizer, SVAR.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; H - Public Economics > H3 - Fiscal Policies and Behavior of Economic Agents; H - Public Economics > H6 - National Budget, Deficit, and Debt

References

1. Achiq M., H. Ghassan et Kh. Meslouhi, (1998). Fluctuations conjoncturelles et croissance tendancielle de l’économie marocaine, Cahiers du Groupe de Recherches et d’Etudes en Econométrie, A9801-1, Département de Sciences Economiques, Fès.

2. Audenis C. and C. Prost, (2000). Déficit conjoncturel : une prise en compte des conjonctures passées, Publication de INSEE Séries documents de travail, Direction des études et synthèses économiques, G-2000/08, pp. 1-28.

3. Bernanke B.S. and I. Mihov, (1998). Measuring monetary policy, Quarterly Journal of Economics, 113(3), pp. 869-902.

4. Bernanke B.S., (1986). Alternative explanations of the money-income correlation, Carnegie Rochester Conference Papers, 25, pp. 49-100.

5. Blanchard O.J. and R. Perotti, (2002). An empirical characterization of the dynamic effects of changes in government spending and taxes on output. Quarterly Journal of Economics, 117(4), pp. 1329-1368.

6. Blanchard O.J. and R. Perotti, (1999). An empirical characterization of the dynamic effects of changes in government spending and taxes on output, WP7269, NBER.

7. Blanchard O.J., (1990). Suggestions for a new set of fiscal indicators, WP79, OECD Department of Economics and Statistics.

8. Blanchard O.J. and D. Quah, (1989). The dynamic effects of aggregate demand and supply disturbances, American Economic Review, 79(4), pp. 655-673.

9. Blanchard O.J. and M. Watson, (1986). Are business cycles all alike? In Gordon R., Edition, The American Business Cycle: Continuity and Change, NBER et University of Chicago Press, pp. 123-156.

10. Brüggemann R., H.M. Krolzig and H. Lütkepohl, (2002). Comparison of model selection procedures for VAR processes, Mimeo, Humboldt University, Berlin.

11. Bruneau C. and O. De Bandt, (1999). La Modélisation VAR structurel : application à la politique monétaire en France, Economie et Prévision, 137(1), pp. 67-94.

12. Bruno C., (1999). Les Déficits publics en Europe: suggestions pour un nouvel indicateur de l’orientation de la politique budgétaire, Publication CFCE/IDEI 05, Paris.

13. Canton E., (2001). Fiscal policy in a stochastic model of endogenous growth, Journal of Economic Modelling, 18, pp. 19-47.

14. Engle R.F. and C.W.J. Granger, (1987). Cointegration and error correction: representation, estimation and testing, Econometrica, 55, pp. 251-276.

15. Gonzalo C., (1994). Five alternative methods of estimating long-run equilibrium relationship, Journal of Econometrics, 60, pp. 203-233.

16. Gali J., (1992). How well does the IS-LM model fit postwar US data?, Quarterly Journal of Economics, May, pp. 709-738.

17. Ghassan H., (2003). The Public expenditures and private investment : test of crowding-out effect by bootstrapping, Journal of Public Administration, 43(4), pp. 727-754.

18. Hendry D.F. and H.M. Krolzig, (2001). Automatic econometric model selection with PcGets, Timberlake Consultants Press, London.

19. Johansen S., (1995). Likelihood-based inference in cointegrated vector autoregressive models, Oxford University Press, Oxford.

20. Johansen S., (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, pp. 231-254.

21. King R.G., C.I. Plosser, J.H. Stock and M.W. Watson, (1991). Stochastic trends and economic fluctuations, American Economic Review, 81, pp. 819-840.

22. Krolzig H.M. and D.F. Hendry, (2001). Computer automation of general-to-specific model selection procedures, Journal of Economic Dynamics and Control, 25, pp. 831-866.

23. Lütkepohl H., (1991). Introduction to multiple time series analysis, Edition Springer-Verlag Berlin Heidelberg.

24. Lütkepohl H., (1985). Comparison of criteria for estimating the order of a vector autoregressive process, Journal of Time Series Analysis, 6(1), pp. 36-52.

25. Naanaa A., (2002). Impact des variables économiques et financières sur le taux d’endettement direct du trésor au Maroc, DPEG Division des études et de l’évaluation des impacts, Rapport technique, Rabat.

26. Shapiro M.D. and M.W. Watson, (1988). Sources of business fluctuations, in S. Fisher (éds.), NBER Macroeconomics Annual. Cambridge, MIT Press, pp. 111-148.

27. Sims C., (1992). Interpreting the macroeconomic time series facts: the effects of monetary policy, European Economic Review, 36, pp. 975-1000.

28. Sims C., (1980). Macroeconomics and Really, Econometrica, 48(1), pp. 153-174.

29. White H., (1980). A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity, Econometrica, 48, pp. 817-838.