Journal ArticleDOI
The causal relationship between taxes and expenditures in the G7 countries: cointegration and error-correction models
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The authors examined the causal relationship between tax revenues and expenditures in the G7 countries using cointegration and error-correction methodology and found that bidirectional causality exists between government taxes and expenditures.Abstract:
The paper examines the causal relationship between tax revenues and expenditures in the G7 countries using cointegration and error-correction methodology. This statistical technique provides additional channels through which causality could emerge. The empirical results show that bidirectional causality exists between government taxes and expenditures in all countries except in Japan and Italy. For Japan and Italy, causality runs from government taxes to expenditures.read more
Citations
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Journal ArticleDOI
Fiscal Sustainability: the Unpleasant European Case *
TL;DR: In this article, co-integration tests between public expenditures and public revenues, allowing for structural breaks, are performed for the EU countries for the 1970-2003 period to assess the sustainability of budget deficits.
Journal ArticleDOI
Government revenue and government expenditure nexus: evidence from developing countries
TL;DR: In this paper, the authors investigate evidence for causality between government revenue and government expenditure within a multivariate framework by modelling them together with gross domestic product for 12 developing countries, including Haiti, El Salvador, Haiti, Chile and Venezuela.
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Assessing Ricardian Equivalence
TL;DR: In this article, the authors argue that Ricardian equivalence relies on both the permanent income hypothesis and the fulfillment of the intertemporal government budget constraint, and that the theoretical literature emphasizes several reasons for departures from this hypothesis.
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Testing the Relationship Between Government Spending and Revenue: Evidence from GCC Countries
Ugo Fasano,Qing Wang +1 more
TL;DR: In this paper, the authors examined the direction of causality between total government expenditure and revenue in oil-dependent GCC countries by utilizing a cointegration and error-correction modeling framework, and by calculating a variance decomposition analysis.
Journal ArticleDOI
Tax and Spend, or Spend and Tax? An Inquiry into the Turkish Budgetary Process
TL;DR: In this paper, the authors investigated the interrelationship between the two fiscal variables for Turkey using bivariate and multivariate cointegrating models and found that tax increases will not lead to higher spending, and thus could be used as an effective deficit-cutting measure along with spending cuts.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Book ChapterDOI
Investigating causal relations by econometric models and cross-spectral methods
TL;DR: In this article, it is shown that the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.
Journal ArticleDOI
Spurious regressions in econometrics
Clive W. J. Granger,P. Newbold +1 more
TL;DR: In this paper, it is pointed out that it is very common to see reported in applied econometric literature time series regression equations with an apparently high degree of fit, as measured by the coefficient of multiple correlation R2 or the corrected coefficient R2, but with an extremely low value for the Durbin-Watson statistic.
Book
Introduction to Statistical Time Series
TL;DR: In this paper, Fourier analysis is used to estimate the mean and autocorrelations of the Fourier spectral properties of a Fourier wavelet and the estimated spectrum of the wavelet.
Journal ArticleDOI
Developments in the study of cointegrated economic variables
TL;DR: The idea underlying cointegration allows specification of models that capture part of such beliefs, at least for a particular type of variable that is frequently found to occur in macroeconomics.