Fiscal Sustainability in BRICS Countries: Evidence from Asymmetric Unit Root Test Augmented with Fourier Function

• Autorzy: Andrew Phiri
• Języki publikacji: EN

Abstrakty

EN

The study's main focus is to demonstrate the importance of accounting for nonlinearities and unobserved structural breaks in testing for stationary in fiscal budgets. This is achieved by applying the KSS unit root tests augment with a flexible Fourier form to the fiscal budgets of BRICS counties. We find that when unit root tests do not account for structural breaks, the fiscal budgets tend to contain a unit root whereas when structural breaks are considered without accounting for nonlinearities the series ae stationary. Simultaneously accounting for asymmetries and unobserved structural breaks more effectively segregates the data into stationary and nonstationary series. (original abstract)

Słowa kluczowe

EN

Fiscal policy; Flexible Fourier Form; Budgetary policy

PL

Polityka fiskalna; Giętka forma Fouriera; Polityka budżetowa

• Czasopismo: Business and Economic Horizons
• Rocznik: 2019
• Numer: vol. 15, iss. 2
• Strony: 254--260

Twórcy

autor

Andrew Phiri

• Nelson Mandela Metropolitan University, South Africa

Bibliografia

• Baffes, J., & Shah, A. (1994). Causality and co-movement between taxes and expenditures: Historic evidence from Argentina, Brazil and Mexico. Journal of Development Economics, 44, 311-331.
• Davies, R. (1987). Hypothesis testing when a nuisance parameter is only present under the alternative. Biometrika, 74(1), 33-43.
• Dhanasekaran, K. (2001). Government tax revenue, expenditure and causality: The experience of India. Indian Economic Review, 36(2), 359-379.
• Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economic Letters, 117, 196-199.
• Ewing, B., & Payne, J. (1998). Government revenue-expenditure nexus: Evidence from Latin America. Journal of Economic Development, 23(2), 57-69.
• Ewing, B., Payne, J., Thompson, M., & Al-Zoubi, O. (2006). Government expenditures and revenues: Evidence from asymmetric modelling. Southern Economic Journal, 73, 190-200.
• Hakkio, C., & Rush, M. (1991). Is the budget deficit 'Too Large'?. Economic Inquiry, 29, 99-126.
• Hamilton, J., & Flavin, M. (1986). On the limitations of government borrowing: A framework for empirical testing. American Economic Review, 76, 808-819.
• Kapetanois, G., Shin, Y., & Snell, A. (2003). Testing for unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379.
• Lau, E., & Baharumshah, A. (2009). Assessing the mean reversion behaviour of fiscal policy: The perspective of Asian countries. Applied Economics, 41(15), 1939-1949.
• Lee, J., & Strazicich, M. (2004). Minimum Lagrange multiplier unit root with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089.
• Lee, J., & Strazicich, M. (2013). Minimum LM unit root with one structural break. Economics Bulletin, 33(4), 2483-2493.
• Li, X. (2001). Government revenue, government expenditure and temporary causality: Evidence from China. Applied Economics, 33, 485-497.
• Mostafa, G., & Mahmood, M. (2015). The rise of the BRICS and their challenge to the G7. International Journal of Emerging Markets, 10(1), 156-170.
• Ndahiriwe, K., & Gupta, R. (2010). Temporal causality between taxes and public expenditures: The case of South Africa. The Journal of World Economic Review, 6(1), 87-100.
• Nyamongo, M., Sichei M., & Schoeman, N. (2007). Government revenue and expenditure nexus in South Africa. South African Journal of Economic and Management Sciences, 10(2), 256-268.
• O'Neil, J. (2001). Building better global economic BRICs. Global Economic Paper No. 66, New York: Goldman-Sachs.
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
• Phiri, A. (2018). Asymmetries in the revenue-expenditure nexus: New evidence from South Africa. Empirical Economics, 56, 1515.
• Rodrigues, P., & Taylor, R. (2012). The flexible Fourier form and local generalized least squares de-trending unit root tests. Oxford Bulletin of Economics and Statistics, 74(5), 736-759.

Identyfikatory

DOI

10.15208/beh.2019.15