Assessing fiscal sustainability subject to policy changes: A Markov switching cointegration approach
Gabriel, VJ and Sangduan, P (2011) Assessing fiscal sustainability subject to policy changes: A Markov switching cointegration approach Empirical Economics, 41 (2). pp. 371-385.
sustswitch_pub.pdf - Accepted version Manuscript
We propose a Markov switching cointegration approach to assess long run fiscal sustainability. This method allows us to simultaneously: (1) test for cointegration in the presence of significant fiscal policy changes; (2) assess the type of fiscal regime that a country experienced at a given period and (3) analyse the timing of the transition between the estimated regime types. Given its flexibility, our approach enable us to uncover a richer and more complex dynamics in the analysis of fiscal sustainability, which standard linear cointegration methods fail to capture.
|Divisions :||Faculty of Arts and Social Sciences > School of Economics|
|Identification Number :||https://doi.org/10.1007/s00181-010-0369-4|
|Additional Information :||The original publication is available at http://www.springerlink.com|
|Depositing User :||Symplectic Elements|
|Date Deposited :||23 May 2012 13:03|
|Last Modified :||23 Sep 2013 19:23|
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