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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). 371 - 385. ISSN 0377-7332

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Abstract

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.

Item Type: Article
Additional Information: The original publication is available at http://www.springerlink.com
Divisions: Faculty of Business, Economics and Law > Economics
Depositing User: Symplectic Elements
Date Deposited: 23 May 2012 13:03
Last Modified: 23 Sep 2013 19:23
URI: http://epubs.surrey.ac.uk/id/eprint/436672

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