A wavelet analysis of US fiscal sustainability

Cascio, Iolanda Lo

doi:10.1016/j.econmod.2015.07.008

Cited by 17 publications

(16 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Conversely, Wilcox (), Abeysinghe and Jayawickrama (), and Hatzinikolaou and Simos () showed results in line with the unsustainability hypothesis. Finally, mixed results have been reached by Kremers (), Hakkio and Rush (), Haug (), Greiner and Kauermann (), and Lo Cascio ().…”

Section: Testing For Fiscal Sustainability: a Review Of The Empiricalmentioning

confidence: 97%

“…Conversely, Wilcox (1989), Abeysinghe and Jayawickrama (2013), and Hatzinikolaou and Simos (2013) showed results in line with the unsustainability hypothesis. Finally, mixed results have been reached by Kremers (1989), Hakkio and Rush (1991), Haug (1995), Greiner andKauermann (2007), andLo Cascio (2015). (2004) 1947-1992 Unit and fractional root tests; structural beaks tests Greiner and Kauermann (2007) 1916-1995 Nonparametric model; time varying coefficient model Hakkio and Rush (1991) 1964-1976 Stationarity and cointegration tests Hamilton and Flavin (1986) 1960-1981 Unit root tests; Flood-Garber tests Hatzinikolaou and Simos (2013) 1947 Unit root and structural beaks tests; cointegration with regime shift tests Haug (1995) 1950-1990 Unit root and cointegration tests Kremers (1989Kremers ( ) 1920Kremers ( -1985 Stationarity and structural breaks tests Lo Cascio (2015) 1975-2012 Wavelet analysis Mahdavi (2014) 1961-2008 Unit root tests Mahdavi and Westerlund (2011) 1961-2006 Panel cross-section dependence tests; PUR tests; panel cointegration tests Martin (2000) 1947-1992 Structural beaks and cointegration tests; Bayesian methodology Payne and Mohammadi (2006) 1947-2003 Unit root tests; TAR and MTAR Models Quintos (1995) Structural beaks and cointegration tests Tanner and Liu (1994) 1950 Cointegration tests with dummy Trehan and Walsh (1988) 1890-1986 Unit root and cointegration tests Wilcox (1989Wilcox ( ) 1960Wilcox ( -1984 Stationarity and parameter instability tests Our elaborations.…”

Section: Studies On European Countriesmentioning

confidence: 98%

See 1 more Smart Citation

Sustainability and comovement of government debt in EMU Countries: A panel data analysis

Brady¹,

Magazzino²

2018

Southern Economic Journal

View full text Add to dashboard Cite

We investigate the sustainability of fiscal policy in a set of 19 European Monetary Union (EMU) countries over the period 1970–2016. Panel unit root tests in the presence of cross‐section dependence show that the government debt series is stationary, indicating that the solvency condition would be satisfied for these countries. This confirms the effectiveness of the austerity measures implemented by these member states. Moreover, an unobserved common factor drives the comovement of government debt in the Eurozone.

show abstract

Section: Testing For Fiscal Sustainability: a Review Of The Empiricalmentioning

confidence: 97%

Section: Studies On European Countriesmentioning

confidence: 98%

Sustainability and comovement of government debt in EMU Countries: A panel data analysis

Brady¹,

Magazzino²

2018

Southern Economic Journal

View full text Add to dashboard Cite

show abstract

“…The intensity of covariance is found by: series are negatively correlated, and x leads y in the latter and y leads x, respectively (Cascio, 2015).…”

Section: Methodsmentioning

confidence: 99%

“…In (Cascio, 2015), USA debt sustainability was analyzed in different timescales utilizing wavelet transform to depict a longitudinal picture of different macroeconomic variables and behavior of different administrations in the USA towards sovereign debts. Continuous wavelet transform is described as follows:…”

Section: Methodsmentioning

confidence: 99%

Analysis of Sovereign External Debt Variations by Cross Wavelet Transform

Namaki¹,

Nazari²,

Gaeeini³

2020

IJFIFSA

View full text Add to dashboard Cite

“…For that purpose, we make use of some wavelet analysis tools by analysing, firstly, the univariate features of the series through the continuous wavelet transform (CWT) (Grossmann and Morlet 1984;Mallat 2008) and the wavelet power spectrum (WPS), which give information simultaneously on time and frequency features of the data. Wavelet analysis reveals the spectral characteristics of a time series (discovering patterns and otherwise hidden information), in particular, the way in which different periodic components of the data on Italian national debt and primary balance evolve over time (Lo Cascio 2015).…”

Section: Methodology and Datamentioning

confidence: 99%

A wavelet analysis of Italian fiscal sustainability

Magazzino

Mutaşcu²

2019

Economic Structures

View full text Add to dashboard Cite

The aim of this paper is to reassess the relationship between public primary deficit and debt (as GDP ratios), in order to test for Italian fiscal sustainability over the period 1862-2013. Italy has the second largest public debt/GDP ratio, and it represents the third economy in the European Union (EU), so that its public accounts stability is crucial for the whole area (Brady and Magazzino 2017a).The main problem for Italy, however, besides its high existing debt on which it is paying high interest in absolute terms, is that its growth is too slow. Since the euro area was founded, Italy's average annual real growth was 0.4%, just marginally above the lowest rate of 0.3% per annum for Greece and one percentage point below the mean value for the overall euro area. Italy's low growth rate, in turn, can be attributed to several structural causes. The country has recorded near zero productivity growth for years, and businesses are often very small, focus on the domestic market, and invest too little in R&D. Major inefficiencies exist in administration, e.g. in the justice system, and capital intensity is too low, also because investment declined by as much as 30% after the financial crisis. This was recently exacerbated by problems in the banking sector, including as a result of poor investment decisions in the past and short survival rates of governments over a long period, which have led to frequent election campaigns and delays in economic policy.Time domain analysis is the most widespread approach in the economic literature to study time series. Through such approach, the evolution of individual variables is modelled and multivariate relationships are assessed over time. Another strand of literature focuses on the frequency domain. Wavelets analysis reconciles both approaches, in the sense that both time and frequency domains are taken into account. With this approach, AbstractIn this paper, we analyse the relationship between public primary deficit and debt for Italian sustainability over the 1862-2013 years. Our empirical strategy uses the wavelet analysis. The empirical evidence suggests the presence of a substantial fiscal sustainability in the long run for Italy. This reversed much of the results of previous empirical literature, due to traditional time series approach and a shorter time horizon. which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.

show abstract

A wavelet analysis of US fiscal sustainability

Cited by 17 publications

References 24 publications

Sustainability and comovement of government debt in EMU Countries: A panel data analysis

Sustainability and comovement of government debt in EMU Countries: A panel data analysis

Analysis of Sovereign External Debt Variations by Cross Wavelet Transform

A wavelet analysis of Italian fiscal sustainability

Contact Info

Product

Resources

About