The Size of Fiscal Multipliers in India: A State Level Analysis Using Panel Vector Autoregression Model

2019 ◽  
Vol 20 (6) ◽  
pp. 1393-1406 ◽  
Author(s):  
Bibhuti Ranjan Mishra
Keyword(s):  
Vector Autoregression ◽  
Generalized Method Of Moments ◽  
Impulse Response Function ◽  
State Level ◽  
Capital Outlay ◽  
Fiscal Multipliers ◽  
Long Run ◽  
Multiplier Effect ◽  
The Government ◽  
Panel Vector Autoregression

This study attempts to measure the fiscal multipliers in India using the state-level panel dataset of 17 non-special category states for the period 2001–2002 to 2013–2014. The study employs the panel vector autoregression (PVAR) approach with a generalized method of moments (GMM) framework and plots the generalized impulse response function to explore shocks and responses of endogenous variables. The article finds that the effects of fiscal variables on income in longer horizon are greater than the immediate impact. Both in the short run and long run, the multiplier effect of capital outlay on income is greater than the multiplier effect of revenue expenditure. The operation of reverse multiplier due to increase in tax is found to be lower than the favourable multiplier effect of expenditure. It provides a rationale for taxation wherein the government should resort to taxation with an objective to spend it on productive investment and thereby raise the economic activity.

Global Patents on 3D Printing: Revelations Based on Vector Autoregression Analysis for Three Decades

2016 ◽  
Vol 13 (06) ◽  
pp. 1750004 ◽  
Author(s):  
Rohit S. Kannattukunnel
Keyword(s):  
3D Printing ◽  
Impulse Response ◽  
Response Function ◽  
Time Series Data ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Series Data ◽  
Vec Model ◽  
The Government

Engineers and designers from automotive and aerospace sectors have been using 3D printing (3DP) for decades to build prototypes. However, 3DP became popular only recently. This paper is divided into three sections. Section 1 is introductory in nature, which deals with current trends, the modeling process of printing and deliberation on different categories of 3DP. Section 2 deals with the research methodology. An exquisite technique to study innovation dealing with time series data, called the vector autoregression (VAR), is performed to analyze the world patent data on 3DP, based on the information provided by the Government of UK and the International Monetary Fund (IMF). Section 3 attempts to forecast future trends on 3DP by using two techniques viz. impulse response function and variance decomposition. The VAR analysis performed revealed that GDP is not directly instrumental in the advancement in patenting of 3DP technology. Results captured by way of impulse response function suggest that when a shock is given to PR itself, it decreases sharply, whereas when a shock is given to investment, PR undergoes a steady decline. Thus, if there is any adverse shock imparted on investments, it directly reduces the patent ratio. Lastly, when an impulse is given to GDP, PR continuously increases, which implies that increase in GDP causes hike in investment which ultimately increases PR. The results of variance decomposition indicate that in the initial periods, PR itself explains the maximum variance, followed by the GDP and to the least by investment. The changes observed with the trend of explanatory character of variance imply that more investments in technology are instrumental in increasing patent ratio in the G7 countries as per the vector error correction (VEC) model developed here. Though during the nascent stage of emerging technologies investment in technology may not necessarily increase the patent ratio, the result obtained brings to light interesting insights.

The Dynamic Relationship between Export, Import and Inflation: Empirical Evidence from India

2018 ◽  
Vol 66 (3-4) ◽  
pp. 294-311
Author(s):  
Malayaranjan Sahoo ◽  
Narayan Sethi
Keyword(s):  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Dynamic Relationship ◽  
Long Run ◽  
Integration Test ◽  
Causality Tests ◽  
Competitive Prices ◽  
Variance Decomposition Analysis ◽  
The Government ◽  
The Relationship

This article aims to examine the relationship between inflation, export, import and foreign direct investment (FDI) in India from1975 to 2017. The study employed Johansen co-integration test to find out the long-run relationship among the variables and further variance decomposition analysis (VDA) and impulse response function (IRF) through vector autoregression (VAR) used to find out the dynamic relationship. Both VDA and IRF results indicate that export has positive or greater influence in inflation in India than other variables like import and FDI. The pair-wise granger causality approach finds that there is unidirectional causality running between exports and inflation and not vice versa, whereas inflation granger causes import. Toda Yamamoto causality also has shown similar result. Both the causality tests revealed that no causal relationships exist between inflation and FDI in India during the study period. As the exports of India have been continuously declining for past few years, the outcomes of this study are the true depiction of India’s economic situation. So, the government should provide a competitive environment and incentives to the local industry to produce at competitive prices to the international market.

A panel vector AutoRegression analysis of income inequality dynamics in each of the 50 states of USA

2017 ◽  
Vol 44 (6) ◽  
pp. 797-815
Author(s):  
Olugbenga Onafowora ◽  
Oluwole Owoye
Keyword(s):  
Income Inequality ◽  
Educational Attainment ◽  
Capita Income ◽  
Economic Freedom ◽  
Vector Autoregression ◽  
Population Ageing ◽  
Content Type ◽  
Long Run ◽  
Per Capita ◽  
Panel Vector Autoregression

Purpose The purpose of this paper is to investigate the income inequality dynamics in each of the 50 states of USA over the period 1981-2011. Design/methodology/approach The paper estimates an augmented Kuznets curve panel Vector AutoRegression in per capita income, economic freedom, educational attainment, unemployment, and population ageing along with evaluating generalized impulse responses functions (GIRF) and generalized forecast-error variance decompositions (GFEVD). Findings All the variables are integrated of order one and are panel cointegrated. Kuznets’ hypothesized inverted U-shaped relationship between inequality and growth is not supported by the data. Unemployment and population ageing have statistically significant positive effects on inequality in the long-run; education has statistically significant negative impact; economic freedom has statistically insignificant positive effect. Long-run bidirectional causality exists among the variables. GFEVD show that excluding income inequality itself, variation in income inequality is more influenced by perturbations in per capita income, educational attainment, and unemployment. GIRF corroborate the results of the GFEVD. Originality/value This paper fulfills an identified need to study the causal relationship between inequality and its determining factors without assuming the a priori exogeneity or endogeneity of the underlying variables.

scholarly journals THE NEW ERA OF FINANCIAL INNOVATION: THE DETERMINANTS OF BITCOIN’S PRICE

2018 ◽  
Vol 33 (1) ◽  
pp. 46 ◽  
Author(s):  
Sukmawati Sukamulja ◽  
Cornelia Olivia Sikora
Keyword(s):  
Impulse Response Function ◽  
Financial Innovation ◽  
Vector Error Correction ◽  
New Era ◽  
Vector Error ◽  
Long Run ◽  
Price Growth ◽  
Short Run ◽  
The Government ◽  
The One

Financial innovation has entered a new era in which a digitalized system and cryptocurrency have been created. This paper examines the factors that influence the price movement of bitcoin. This is not a legal currency in Indonesia; the Indonesian government has not made any regulations legalizing bitcoin’s use, but it has also not issued any new laws to prohibit the trade in bitcoins and other digital currencies. The demand for, and price growth of, bitcoin are interesting matters to study, especially for Indonesians who still have questions about the progress of Bitcoin transactions and the factors that influent them. In Indonesia itself, without any protection from the government, the bitcoin price on December 14, 2017 had already reached more than IDR224.5 million, compare to IDR60 million in October 2017. Bitcoin is the first peer-to-peer currency, and was introduced by Satoshi Nakamoto in 2008. Since its inception, bitcoin has served more than 17 million users, including Indonesians. Bitcoin behaves in a different manner, compared to traditional currencies and the one that affects bitcoin’s price is its attractiveness for investors. The Vector Error Correction Model (VECM) is applied to analyze the short-term and long-term influences. VECM is used in this research because the data is stationary in the first difference and has a cointegration relationship. To make the interpretation clearer, the impulse response function and variance decomposition also are included in this research. The result indicates that the macroeconomic indicator, represented by the Dow Jones Industrial Average (DJIA), the demand for bitcoins and the gold price influence bitcoin’s price fluctuations in the short-run and long-run. Bitcoin’s supply does not influence its price fluctuation in the long-run but does influence it in the short-run. The implication of this research is bitcoin could compete as an alternative investment compared to the capital markets and gold.

scholarly journals GST: Farewell to Multilevel Taxation

2017 ◽  
Vol 3 (1) ◽  
Author(s):  
Amit Kumar Singh ◽  
Ashween Anand
Keyword(s):  
Manufacturing Sector ◽  
Tax Compliance ◽  
State Level ◽  
Task Forces ◽  
Goods And Services ◽  
Long Run ◽  
Efficient Resource ◽  
The Government ◽  
Revenue Efficiency ◽  
Year 2000

On 8th September 2016, President Pranab Mukherjee approved the government‟s flagship Goods and Services Tax (GST) Bill. After going through a long journey of more than 16 years which first started in year 2000 in a Committee headed by Asim Dasgupta, GST will finally come into force from 1st April, 2017. GST is a single „unified‟ indirect tax levied on goods and services that subsumes multiple taxes levied at the Central and the State level. This paper draws attention to the implications of a „comprehensive‟ GST for economic growth, efficient resource allocation, GDP growth, tax compliance and administration, imports and exports, manufacturing sector, tax revenue efficiency and State finances. The findings of various Task forces/Committees conclude that GST may turn out to be a positive-sum game by bringing in “collective gain” for agriculture, manufacturing and trading sectors along with the final consumers and the government. Irrespective of the wide array of opportunities opened up by GST, the government must be mindful of its accompanying challenges such as development of a sound IT infrastructure, tax administration and modern information systems and determination of GST rate, exemptions, etc. The success of the government in addressing these challenges will determine the sustainability of this major indirect tax reform in the long run.

scholarly journals An Empirical Investigation of Foreign Financial Assistance Inflows and Its Fungibility Analyses: Evidence from Bangladesh

Economies ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 95 ◽  
Author(s):  
Murshed
Keyword(s):  
Developing Economies ◽  
Government Expenditure ◽  
Health Sector ◽  
Impulse Response Function ◽  
Policy Implications ◽  
Annual Data ◽  
Vector Error Correction ◽  
Public Investments ◽  
Long Run ◽  
The Government

The external financing of fiscal deficit is key to bridging public revenue shortfalls within developing economies. However, the public expenditure responses to the incoming foreign financial assistances, as documented in the existing literature, depict ambiguity with respect to the nature of the assistances. Against this milieu, this paper attempts to perform a comprehensive analysis of the dynamics adhering to the foreign financial inflows–government expenditure nexus in Bangladesh tapping annual data from 1985 to 2017. The vector error-correction model approach to short and long-run correlations and causality analyses, variance decomposition technique, and impulse response function exercises comprise the econometric methodologies considered in this paper. In a nutshell, the results from the analyses indicate toward foreign financial inflows crowding out public investments, and reducing the tax and non-tax efforts of the government, while diminishing the amount of local public borrowings in Bangladesh. Conversely, financial assistances in the form of concessional loans and those originating from multilateral sources are found to enhance government expenditure, while the foreign aids intended for the health sector are found to be fungible in nature. Thus, these contrasting findings are expected to generate crucial policy implications with regard to structuring appropriate public policies.

Impact of tourism development on inclusive growth: A panel vector autoregression analysis for African economies

2021 ◽  
pp. 135481662110611
Author(s):  
Oluwatosin Adeniyi ◽  
Terver T Kumeka ◽  
Samuel Orekoya ◽  
Wasiu Adekunle
Keyword(s):  
Vector Autoregression ◽  
Developing Economies ◽  
Generalized Method Of Moments ◽  
Error Variance ◽  
Policy Implications ◽  
Impulse Response Functions ◽  
Inclusive Growth ◽  
African Countries ◽  
African Context ◽  
Panel Vector Autoregression

The persistent debate among policy makers and academics around combating the high rates of poverty and income inequality can be further illuminated by understanding how tourism contributes to inclusive growth, especially in developing economies. Tourism sector can be regarded as one of the key contributors to inclusive growth and where it has the capacity to generate prospects for productive employment. The goal of this article is thus to investigate the link between inclusive growth and tourism in the African context. To do this, we utilized a recent panel vector autoregression (pVAR) and data for 45 African countries spanning the period 1995 to 2019. Thus, by the error variance decomposition and impulse response functions, our results showed a weak positive effect of international tourism arrivals and the composite tourism indicator on inclusive growth, while tourism receipts and tourism expenditure insignificantly decreases inclusive growth in the sampled African economies. Our result is further supported by the panel system generalized method of moments (GMM). We provide some policy implications from our findings.

scholarly journals Agriculture Development, Employment Generation and Poverty Reduction in West Africa

2019 ◽  
Vol 13 (1) ◽  
pp. 82-89 ◽  
Author(s):  
Romanus Osabohien ◽  
Oluwatoyin Matthew ◽  
Obindah Gershon ◽  
Toun Ogunbiyi ◽  
Ebere Nwosu
Keyword(s):  
West Africa ◽  
Poverty Reduction ◽  
Agricultural Development ◽  
Social Protection ◽  
Labour Force ◽  
Generalized Method Of Moments ◽  
The Poor ◽  
Long Run ◽  
The Government ◽  
Capital Development

Background: The problem of poverty eradication has been limited to the Economic Community of West African States (ECOWAS) region, which accounts for more than 40% of the world's poor population. The majority of these people are rural farmers who depend solely on agriculture for livelihood. Agriculture in West Africa remains the largest means of employment in which more than 60% of the sub-region’s active labour force is involved. Objective: This study examined the potentials of agriculture to generate employment for the people, thereby reducing the level of poverty in West Africa. Methods: The Generalized Method of Moments (GMM) econometric technique was employed in this study for the panel data covering the period of 17 years (2000 to 2016). Results: Results from the study showed that agriculture provides the opportunity for the poor to increase their earnings to escape the poverty trap, whether the poor can seize these agricultural opportunities depends on their human capital development. Conclusion: The study, therefore, concluded that effective policies (e.g. social protection) should be formulated in the agricultural development plans that will prioritize sustainable land and water management, access to markets, and the food security. To achieve this, the use of modern methods should be encouraged through farm incentives to boost agricultural production and increase farmer’s income which is earned through the sale of agricultural commodities, and thus; in the long run, increase the revenue accruing to the government and reduce the rate of poverty.

Linearly Transforming Variables in the VAR Model, How Does it Change the Impulse Response?

2017 ◽  
Vol 7 (1) ◽  
Author(s):  
Peter Reusens ◽  
Christophe Croux
Keyword(s):  
Interest Rate ◽  
Impulse Response ◽  
Linear Transformation ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Structural Shocks ◽  
Expected Inflation ◽  
Long Run ◽  
Short Run

AbstractThis paper analyzes the impulse response function of vector autoregression models for variables that are linearly transformed. The impulse response is equal to the linear transformation of the original impulse response if and only if the shock is equal to the linear transformation of the original shock. In particular, we consider shocks in one error term only, generalized shocks, structural shocks identified by short-run recursive restrictions and structural shocks identified by long-run recursive restrictions. A vector autoregression model with expected inflation, the overnight rate and a long term ex-ante real interest rate that replaces the corresponding long term nominal interest rate, illustrates our results.

Cyclical Government Spending : Theory and Empirics

2021 ◽  
Author(s):  
Jordan Roulleau-Pasdeloup
Keyword(s):  
Open Economy ◽  
Government Spending ◽  
Cumulative Effect ◽  
State Level ◽  
New Keynesian ◽  
Keynesian Model ◽  
Long Run ◽  
Level Data ◽  
Multiplier Effect ◽  
Systematic Component

Abstract This paper shows that part of what is usually labelled discretionary government spending actually varies systematically over the cycle. I exploit the pervasive gap between OLS and 2SLS local government spending multipliers to estimate how cyclical the systematic part of government spending is. Estimating a structural open economy New Keynesian model on U.S. state level data, I find that when employment decreases by $1\%$, the systematic component of government spending decreases by $0.23\%$. I also find that the empirical specification in Nakamura & Steinsson (2014) does a good job in recovering the true impact multiplier effect, but that it overestimates the long-run cumulative effect.

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