Dynamic Effects of Fiscal Shocks Upon Diverse Macroeconomic Variables: A Structural VAR Analysis for Argentina

44 Pages Posted: 14 Feb 2012

See all articles by Ernesto Rezk

Ernesto Rezk

Universidad Nacional de Córdoba

Maria Cecilia Avramovich

Universidad Nacional de Córdoba

Martín Basso

Universidad Nacional de Córdoba

Date Written: March 30, 2006

Abstract

The paper studies the dynamic effects of fiscal policy shocks upon Argentine macroeconomic variables such as the gross domestic product, the inflation rate and the level of unemployment; a structural Vector Autoregression model is resorted to in order to estimate the impulse response functions; the econometric analysis is carried out for the period 1984-2005 (second quarter) and quarterly logarithmic real variables are used for the VAR´s specification. Point estimation of impulse response functions indicate both a relatively low statistical significance of fiscal shocks upon macroeconomic variables and a short-lived impact of innovations while at the same time cast doubts upon some traditionally accepted Keynesian macroeconomic policy prescriptions.

Keywords: Fiscal Policy, VAR, fiscal shocks, impulse-response, robustness, causality

JEL Classification: E62

Suggested Citation

Rezk, Ernesto and Avramovich, Maria Cecilia and Basso, Martín, Dynamic Effects of Fiscal Shocks Upon Diverse Macroeconomic Variables: A Structural VAR Analysis for Argentina (March 30, 2006). Available at SSRN: https://ssrn.com/abstract=2005159 or http://dx.doi.org/10.2139/ssrn.2005159

Ernesto Rezk (Contact Author)

Universidad Nacional de Córdoba ( email )

Av. Haya de la Tore s/n
Pabellon Argentina
Cordoba, Córdoba 5000
Argentina

Maria Cecilia Avramovich

Universidad Nacional de Córdoba ( email )

Av. Haya de la Tore s/n
Pabellon Argentina
Cordoba, Córdoba 5000
Argentina

Martín Basso

Universidad Nacional de Córdoba ( email )

Av. Haya de la Tore s/n
Pabellon Argentina
Cordoba, Córdoba 5000
Argentina

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