Fiscal sustainability and regime shifts in Japan

被引:6
作者
Ko, Jun-Hyung [1 ]
Morita, Hiroshi [2 ]
机构
[1] Aoyama Gakuin Univ, Dept Econ, Shibuya Ku, Tokyo 1508366, Japan
[2] Hitotsubashi Univ, Grad Sch Econ, Kunitachi, Tokyo 1868603, Japan
关键词
Debt-GDP ratio; Fiscal sustainability; Ricardian regime; Dynamic inefficiency; Markov-switching VAR; POLICY; DEBT; MONETARY; DEFICIT; BURDEN; MODEL; SHOCK; US;
D O I
10.1016/j.econmod.2015.02.008
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper examines fiscal sustainability conditions in the Japanese economy estimating a Markov-switching vector autoregressive (VAR) model. Three fiscal sustainability conditions are identified in one VAR model: the stance of government, Domar (1944)-type GDP growth, and other factors. The main findings are summarized as follows. First, a regime switch occurred in the early 1990s. In the first regime, it appears that the government adopted the Ricardian stance to past debt levels, while such fiscal reactions are not observed in the second regime. Furthermore, only in the second regime, Domar (1944)-type income growth significantly decreases the debt-GDP ratio. Second, however, the contributions of these two shocks are minor in explaining historical variances of the debt-GDP ratio in both regimes. Third, forecast simulations reveal that the debt-GDP ratio is not sustainable in the second regime. Fourth, counterfactual simulations show that around 2 percent nominal growth or a Ricardian fiscal stance can keep the debt-GDP ratio sustainable. (c) 2015 Elsevier B.V. All rights reserved.
引用
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页码:364 / 375
页数:12
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