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

Magkonis, G and Tsopanakis, A 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.

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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
Schools: Schools > Salford Business School > Salford Business School Research Centre
Journal or Publication Title: Journal of International Financial Markets, Institutions and Money
Publisher: Elsevier
Refereed: Yes
ISSN: 1042-4431
Related URLs:
Funders: Non funded research
Depositing User: Dr A Tsopanakis
Date Deposited: 09 Sep 2014 13:22
Last Modified: 01 Nov 2016 08:04
URI: http://usir.salford.ac.uk/id/eprint/32491

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