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Exploring the effects of financial and fiscal vulnerabilities on G7 economies: Evidence from SVAR analysis

Georgios, Magkonis and Tsopanakis, Andreas 2014. Exploring the effects of financial and fiscal vulnerabilities on G7 economies: Evidence from SVAR analysis. Journal of International Financial Markets, Institutions and Money 32 , pp. 343-367. 10.1016/j.intfin.2014.06.010

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Abstract

We examine the possible interactions of the financial cycle and fiscal position for G7 economies. We employ the innovative aggregate financial and fiscal stress indexes which are able to depict the perplexed nature of modern economies. A SVAR model is developed to investigate the effects of both financial and fiscal stress on key macroeconomic variables. The results, using two different identification methods, reveal that financial and fiscal shocks affect negatively the key macroeconomic variables. Additionally, there is a weak feedback effect from a financial shock to fiscal sector and vice versa.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Uncontrolled Keywords: Financial stress; Fiscal stress; Structural VAR; G7 economies
Publisher: Elsevier
ISSN: 1042-4431
Date of Acceptance: 28 June 2014
Last Modified: 08 Dec 2017 11:15
URI: http://orca.cf.ac.uk/id/eprint/105785

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