Prague Economic Papers 2023, 32(1):61-83 | DOI: 10.18267/j.pep.822

Estimating Bohn's Fiscal Sustainability Model with Temporal Variation: Evidence from Turkey

Cansin Kemal Cana
a Medeniyet University, Istanbul, Turkey

This study aims to estimate a dynamic fiscal reaction function in a state-space setting to obtain time-varying reaction parameters for appraising the evolution of public debt sustainability in Turkey. The data set used for estimation is the longest for Turkey in the literature. Succinctly speaking, this function quantifies the corrective fiscal efforts exerted to preserve the stability of public debt. The time-varying estimation findings in this study suggest that the recent fiscal history of Turkey can be divided into two subperiods in terms of fiscal stability. Before the mid-1990s, no systematic fiscal response existed to restore the stability of public debt, whereas after the mid-1990s, a remarkable effort was evidenced by the positive fiscal reaction parameters. Notwithstanding some 20 years of strong positive reactions, the former performance appears to be far-off in recent years, and the strength of fiscal reaction has waned gradually, which is perturbing for the future course of fiscal sustainability.

Klíčová slova: Debt sustainability, fiscal reaction function, state-space model
JEL classification: C32, E62, H63

Vloženo: 23. květen 2022; Revidováno: 16. leden 2023; Přijato: 20. leden 2023; Zveřejněno: 9. březen 2023  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Can, C.K. (2023). Estimating Bohn's Fiscal Sustainability Model with Temporal Variation: Evidence from Turkey. Prague Economic Papers, 32(1), 61-83. doi: 10.18267/j.pep.822
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Afonso, A. (2005). Fiscal Sustainability: The Unpleasant European Case. FinanzArchiv / Public Finance Analysis, 61(1), 19-44, https://doi.org/10.1628/0015221053722532 Přejít k původnímu zdroji...
    2. Afonso, A., Jalles, J. (2011). Appraising Fiscal Reaction Functions. Economics Bulletin, 31(4), 3320-3330.
    3. Alesina, A., Tabellini, G., Campante, F. R. (2008). Why is Fiscal Policy Often Procyclical? Journal of the European Economic Association, 6(5), 1006-1036, https://doi.org/10.2139/ssrn.780225 Přejít k původnímu zdroji...
    4. Barro, R. J. (1979). On the determination of the public debt. Journal of Political Economy, 87(5), 940-971. Přejít k původnímu zdroji...
    5. Barro, R. J. (1986). The Behaviour of U.S. Deficits. In: Gordon, R. J. The American Business Cycle: Continuity and Change. Chicago: University of Chicago Press.
    6. Belguith, S., Gabsi, F. (2017). Public Debt Sustainability in Tunisia: Empirical Evidence Estimating Time-Varying Parameters. Journal of the Knowledge Economy, 10(2), 550-560, https://doi.org/10.1007/s13132-017-0482-0 Přejít k původnímu zdroji...
    7. Bohn, H. (1995). The Sustainability of Budget Deficits in a Stochastic Economy. Journal of Money, Credit and Banking, 27(1), 257-271, https://doi.org/10.2307/2077862 Přejít k původnímu zdroji...
    8. Bohn, H. (1998). The Behavior of U.S. Public Debt and Deficits. The Quarterly Journal of Economics, 113(3), 949-963, https://doi.org/10.1162/003355398555793 Přejít k původnímu zdroji...
    9. Bohn, H. (2007). Are Stationarity and Cointegration Restrictions Really Necessary for the Intertemporal Budget Constraint? Journal of Monetary Economics, 54(7), 1837-1847, https://doi.org/10.1016/j.jmoneco.2006.12.012 Přejít k původnímu zdroji...
    10. Burger, P., Marinkov, M. (2012). Fiscal Rules and Regime-Dependent Fiscal Reaction Functions: The South African Case. OECD Journal on Budgeting, 12(1), 1-29, https://doi.org/10.1787/16812336 Přejít k původnímu zdroji...
    11. Burger, P., Stuart, I., Jooste, C., et al. (2012). Fiscal Sustainability and The Fiscal Reaction Function for South Africa: Assessment of the Past and Future Policy. South African Journal of Economics, 80, 1-19, https://doi.org/10.1111/j.1813-6982.2012.01321.x Přejít k původnímu zdroji...
    12. Campos, E. L., Cysne, R. P. (2019). A Time-Varying Fiscal Reaction Function for Brazil. Estudos Econômicos, 49(1), 5-38, https://doi.org/10.1590/0101-41614911ecr Přejít k původnímu zdroji...
    13. Can, C. K. (2021). A Time-Varying Analysis of the Public Debt Sustainability in Turkey with Flexible Least Squares Technique. Uluslararasi İktisadi ve İdari İncelemeler Dergisi, 31, 129-144, https://doi.org/10.18092/ulikidince.827340 Přejít k původnímu zdroji...
    14. Canzoneri, M. B., Cumby, R. E., Diba, B. T. (2001). Is the Price Level Determined by the Needs of Fiscal Solvency? American Economic Review, 91(5), 1221-1238, https://doi.org/10.1257/aer.91.5.1221 Přejít k původnímu zdroji...
    15. De Mello, L. (2011). Estimating a Fiscal Reaction Function: the Case of Debt Sustainability in Brazil. Applied Economics, 40(3), 271-284, https://doi.org/10.1080/00036840500461873 Přejít k původnímu zdroji...
    16. Fincke, B., Greiner, A. (2011). How to assess debt sustainability? Some theory and empirical evidence for selected euro area countries. Applied Economics, 44(28), 3717-3724, https://doi.org/10.1080/00036846.2011.581213 Přejít k původnímu zdroji...
    17. Greiner, A., Fincke, B. (2009). Public Debt and Economic Growth. Heidelberg: Springer. ISBN 978-3-642-01744-5. Přejít k původnímu zdroji...
    18. Hamilton, J. D. (2018). Why You Should Never Use the Hodrick-Prescott Filter. The Review of Economics and Statistics, 100(5), 831-843, https://doi.org/10.1162/rest_a_00706 Přejít k původnímu zdroji...
    19. Hamilton, J., Flavin, M. A. (1986). On the Limitations of Government Borrowing: A Framework for Empirical Testing. American Economic Review, 76(4), 808-819.
    20. Harvey, A. (1993). Time Series Models. 4th ed. Cambridge: The MIT Press. ISBN 9780262082242.
    21. IMF (2022). IMF Global Debt Database. Washington, D.C.: International Monetary Fund. [Retrieved 2022-05-01]. Available at: https://www.imf.org/external/datamapper/CG_DEBT_GDP@DD/TUR
    22. IMF (2022). IMF Public Finances in Modern History Database. Washington, D.C.: International Monetary Fund. [Retrieved 2022-05-01]. Available at: https://www.imf.org/external/datamapper/pb @PP/TUR
    23. IMF (2022). IMF Fiscal Monitor Database. Washington, D.C.: International Monetary Fund. [Retrieved 2022-05-01]. Available at: https://www.imf.org/external/datamapper/dataset/FM
    24. Jha, R. (2012). Analytical Approaches to Assessing Public Debt Sustainability. In: Ferrarini, B. J. R., Ramayandi, A. Public Debt Sustainability in Developing Asia, pp. 14-43. Oxfordshire: Routledge. ISBN 978-0-203-08571-4.
    25. Kamber, G., Morley, J., Wong, B. (2018), Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter. The Review of Economics and Statistics, 100(3), 550-566, https://doi.org/10.1162/rest_a_00691 Přejít k původnímu zdroji...
    26. Kalaba, R., Tesfatsion, L. (1989). Time Varying Linear Regression via Flexible Least Squares. Computers and Mathematics with Applications, 17(8-9), 1215-1245, https://doi.org/10.1016/0898-1221(89)90091-6 Přejít k původnímu zdroji...
    27. Mauro, P., Romeu, R., Binder, A., et al. (2015). A Modern History of Fiscal Prudence and Profligacy. Journal of Monetary Economics, 76, 55-70, https://doi.org/10.1016/j.jmoneco.2015.07.003 Přejít k původnímu zdroji...
    28. Mutuku, C. (2015). Assessing Fiscal Policy Cyclicality and Sustainability: A Fiscal Reaction Function for Kenya. Journal of Economics Library, 2(3), 173-191.
    29. Neusser, K. (2016). Time Series Econometrics. Cham: Springer. ISBN 978-3-319-32861-4. Přejít k původnímu zdroji...
    30. Nguyen, T. D., Suardi, S., Chua, C. L. (2016). The Behaviour of U.S. Public Debt and Deficits During The Global Financial Crisis. Contemporary Economic Policy, 35(1), 201-215, https://doi.org/10.1111/coep.12166 Přejít k původnímu zdroji...
    31. Orphanides, A., van Norden, S. (2002). The Unreliability of Output-Gap Estimates in Real Time. The Review of Economics and Statistics, 84(4), 569-583, https://doi.org/10.1162/003465302760556422 Přejít k původnímu zdroji...
    32. Paniagua, J., Sapena, J., Tamarit, C. (2017). Fiscal Sustainability in EMU Countries: A Continued Fiscal Commitment? Journal of International Financial Markets, Institutions and Money, 50, 85-97, https://doi.org/10.1016/j.intfin.2017.08.014 Přejít k původnímu zdroji...
    33. Trehan, B., Walsh, C. E. (1988). Common Trends, the Government's Budget Constraint, and Revenue Smoothing. Journal of Economic Dynamics and Control, 2(2-3), 425-444, https://doi.org/10.1016/0165-1889(88)90048-6 Přejít k původnímu zdroji...

    Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah