Δημοσιονομική αβεβαιότητα: πηγές και επιπτώσεις
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Abstract
The current study examines the possible influence of the fiscal uncertainty index and its sub-indices (debt uncertainty Index and tax policy uncertainty index) on variables related to the economy and vice versa. These uncertainty indicators are expressed quantitatively with the EPUF (Fiscal uncertainty Index), EPUD (Debt Uncertainty Index) and EPUT (Tax Policy Uncertainty Index). Common macroeconomic and financial variables were used to determine the direction of the influence. These are the percentage change of GDP, the change in ten-year bond yields, the change in unemployment, the percentage change of the industrial production indicator, the percentage change in the economic sentiment indicator and the percentage change of the Athens stock Exchange Index. Three periods were examined separately: from January 2000 to July 2019, from January 2000 to September 2009 (before the crisis in Greece) and from October 2009 to July 2019 (after the outburst of the Greek crisis).
In particular, the uncertainty indicators used, do not appear to affect the economy to such an extent that an important conclusion can be drawn. At a multifactorial level, the examination of the impact of each macroeconomic and financial variable by each uncertainty indicator, in addition to other financial and macroeconomic variables, did not lead to any conclusion and is not presented in the study. Impact was found on a univariate level. Fiscal uncertainty index and debt uncertainty index was found to have positive impact on unemployment. Also, debt uncertainty index seems to have negative impact on GDP.
On the other hand, examining the impact of uncertainty indicators on economic variables had more interesting results. At univariate regressions we found that the percentage changes of economic sentiment indicator and the percentage change of GDP have a negative impact on debt uncertainty index and on the fiscal uncertainty index while unemployment seems to have a positive effect on the same indicators for the whole sample. At a multifactorial level, in order to give a more complete picture in the analysis, it was found that there is a significant influence of the uncertainty indicators from their lags. The conclusions of the univariate regressions were confirmed in some cases while the negative impact of the percentage change of Athens Stock Exchange Index on debt uncertainty index and on tax policy uncertainty before the crisis came up.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
84Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές