Fiscal Policies and Credit Regimes: A TVAR Approach
用美国1984-2010年数据，通过门限向量自回归模型发现，信贷市场紧张时财政政策对产出的影响更强更持久，乘数显著高于正常信贷时期。
This work investigates how the state of credit markets affects the impact of fiscal policies. We estimate a threshold vector autoregression (TVAR) model on US quarterly data for the period 1984–2010. We employ the spread between BAA‐rated corporate bond yield and 10‐year treasury constant maturity rate as a proxy for credit conditions. We find that the response of output to fiscal policy shocks is stronger and more persistent when the economy is in the ‘tight’ credit regime. Fiscal multipliers are significantly different in the two regimes: they are abundantly and persistently higher than one when firms face increasing financing costs, whereas they are feebler and often lower than one in the ‘normal’ credit regime. The results appear to be robust to different model specifications, fiscal foresight, alternative threshold variables, different measure of variables and sample periods.