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Publication details

Fiscal developments and financial stress: a threshold VAR analysis

Journal Article

Afonso A., Baxa Jaromír, Slavík M.


serial: European Central Bank Working Paper Series vol.2011, 1319 (2011), p. 1-60

research: CEZ:AV0Z10750506

keywords: fiscal policy, financial markets, threshold VAR

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abstract (eng):

We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, we investigate the possibility of a non-linear propagation of fiscal developments according to different financial market stress regimes.

RIV: AH

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Last modification: 21.12.2012
Institute of Information Theory and Automation