Vliv makroekonomických šoků na dynamiku vládního dluhu: jak robustní je fiskální pozice České republiky?

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dc.contributor.authorMelecký, Aleš
dc.contributor.authorMelecký, Martin
dc.date.accessioned2013-02-21T11:08:12Z
dc.date.available2013-02-21T11:08:12Z
dc.date.issued2012
dc.description.abstract-enThis paper analyzes the effects of macroeconomic shocks on the government debt dynamics in an open economy using the analytical framework of Favero and Giavazzi (2007) extended to an open economy. Applying this modelling approach to the data for the Czech Republic, the authors derive some implications for fiscal policy. The modelling framework includes structural vector autoregression (SVAR) model, estimated using short-term identification restrictions, and non-linear specification of the government debt dynamics. The main variables of the analyzed system are GDP, inflation, the effective interest rate on government debt, government revenues and expenditures, the exchange rate and government debt. The estimation is carried out using the Bayesian approach. The results suggest that allowing for a non-linear dynamics in the government debt to GDP ratio could imply stronger persistence and higher volatility in the responses of government indebtedness to macroeconomic shocks. The fiscal stance of the Czech Republic seems to be most vulnerable to unexpected depreciation of the local currency, discretionary pro-cyclical increases in government expenditures, and deflationary shocks.cs
dc.description.firstpage723cs
dc.description.issue6cs
dc.description.lastpage742cs
dc.description.sourceWeb of Sciencecs
dc.description.volume60cs
dc.format.extent512143 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.citationPolitická ekonomie. 2012, roč. 60, č. 6, s. 723-742.cs
dc.identifier.doi10.18267/j.polek.874
dc.identifier.issn0032-3233
dc.identifier.issn2336-8225
dc.identifier.locationNení ve fondu ÚKcs
dc.identifier.urihttp://hdl.handle.net/10084/96149
dc.identifier.wos000314000500002
dc.language.isocscs
dc.publisherVysoká škola ekonomická v Prazecs
dc.relation.ispartofseriesPolitická ekonomiecs
dc.relation.urihttps://doi.org/10.18267/j.polek.874
dc.rightsCreative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
dc.rights.accessopenAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectbayesian estimationcs
dc.subjectCzech Republiccs
dc.subjectgovernment debtcs
dc.subjectmacroeconomic shockscs
dc.subjectnon-linear dynamicscs
dc.subjectopen economycs
dc.subjectstructural vector autoregression modelcs
dc.titleVliv makroekonomických šoků na dynamiku vládního dluhu: jak robustní je fiskální pozice České republiky?cs
dc.title.alternativeThe impact of macroeconomic shocks on the government debt dynamics: how robust is the fiscal stance of the Czech Republic?cs
dc.typearticlecs
dc.type.statusPeer-reviewedcs

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