Prague Economic Papers, 2022 (vol. 31), issue 6

Modelling Household Mortgage Debt: the case of the Czech Republic

Lukáš Fiala

Prague Economic Papers 2022, 31(6):443-463 | DOI: 10.18267/j.pep.816  

This paper deals with Czech household mortgage debt and its determinants in the period 1Q2005-2Q2021. Our analysis focuses on the variables determining the level of mortgage debt from both short- and long-term perspectives. Our contribution is two-fold. Firstly, we examine the relationship between the selected variables within a cross-correlation analysis. The results confirm the positive dependency of household mortgage debt and real GDP, real gross average income and the level of house prices. By contrast, a negative relationship was identified for real interest rates, the unemployment rate and the inflation rate. Secondly, we...

Financial Stability and Income Inequality in Developing Countries

Margaret Rutendo Magwedere, Godfrey Marozva

Prague Economic Papers 2022, 31(6):464-481 | DOI: 10.18267/j.pep.815  

This paper examines the relationship between financial stability and income inequality in 35 developing countries from 2004 to 2020 using system generalized method of mo- ments (GMM) estimation. Four dimensions of the financial sector, namely financial stability, depth, access and efficiency were included as regressors. The results for the relationship of each of the financial dimensions with income inequality are mixed. In this study, inequality increases with an increase in the stability of the financial sector; on the contrary, the depth of the financial sector reduces inequality. Furthermore, not only does the dimension of the financial sector...

Counter-cyclical Fiscal Policy in Developed Countries: Does Governance Hinder?

Van Bon Nguyen

Prague Economic Papers 2022, 31(6):482-508 | DOI: 10.18267/j.pep.814  

Fiscal policy is an effective instrument in helping governments in developed countries overcome a recession with a high unemployment rate or a hot economy with a high inflation rate to keep the economy on a stable path. Does governance contribute significantly to keeping this goal in these countries? The study looks for an answer by empirically investigating the role of governance in the output gap - fiscal policy relationship for a group of 27 developed countries between 2002 and 2019. It employs the difference GMM Arellano-Bond estimators and the PMG estimator for estimation and robustness check. The results provide some interesting findings. Firstly,...

Relationship Between Output Volatility and Output in OECD Countries Revisited

Aykut Ekinci

Prague Economic Papers 2022, 31(6):509-537 | DOI: 10.18267/j.pep.812  

This study revisits the empirical relationship between output volatility and output for twelve OECD countries. An extended AR-EGARCH-M model was used to identify the structural break, asymmetric effect, jump effect and spillover effect. In addition to the classical logarithmic definition of growth, the study uses the Hodrick-Prescott filter to compute the deviations from the long-term trend as the output gap. The empirical results show that (i) the effect of output volatility on output differs across countries under the same model specifications; and (ii) while the in-mean effect and spillover effect are stronger for the output gap-based models, the...

Effects of Fiscal Policy Uncertainty on Turkish Economy

Suleyman Kasal, Sebnem Tosunoglu

Prague Economic Papers 2022, 31(6):538-566 | DOI: 10.18267/j.pep.811  

Uncertainty is one of the most important issues for economic actors. Uncertainty about tax, expenditure and debt policy has an impact on the economy. The central question in this study asks how fiscal policy uncertainty affects the Turkish economy. First, we quantify Turkey's fiscal policy uncertainty index based on volatility measurements between 1998Q1 and 2020Q4. This index represents major fiscal, economic and political incidents in Turkey. Next, we analyse the effects of fiscal policy uncertainty on the Turkish economy using a VAR model. Our study finds that fiscal policy uncertainty shocks have detrimental and long-lasting effects on the Turkish...