Arbeitspapier
Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries
We assess the sustainability of public finances in OECD countries, over the period 1970-2010, using unit root and cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration – absence of sustainability – between government revenues and expenditures for most countries (except for Austria, Canada, France, Germany, Japan, Netherlands, Sweden, and UK); improvements of the primary balance after past worsening in debt ratios for Australia, Belgium, Germany, Ireland, Netherlands and the UK; Granger causality from government debt to the primary balance for 12 countries (suggesting the existence of Ricardian regimes). Overall, fiscal policy has been less sustainable for several countries, and panel data results corroborate the time-series findings.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1465
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Fiscal Policy
National Deficit; Surplus
National Debt; Debt Management; Sovereign Debt
- Subject
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breaks
causality
debt
fiscal regimes
FMOLS
Panel Cointegration
primary balance
stationarity
- Event
-
Geistige Schöpfung
- (who)
-
Afonso, António
Jalles, João Tovar
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Afonso, António
- Jalles, João Tovar
- European Central Bank (ECB)
Time of origin
- 2012
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