Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem
This study re-examines the Ricardian Equivalence theorem (RET) by using advanced time series econometric models to investigate updated data of the U.S. budget deficits and real interest rates. We employ a multi-model approach to thoroughly investigate the properties of two time series, namely the...
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Danubius University Press
2022
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| Truy cập trực tuyến: | http://scholar.dlu.edu.vn/handle/123456789/835 |
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oai:scholar.dlu.edu.vn:123456789-8352022-08-19T12:10:49Z Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem Nguyễn, Văn Tuấn ARMA VAR Ricardian Equivalence Theorem Budget Deficits Interest Rates This study re-examines the Ricardian Equivalence theorem (RET) by using advanced time series econometric models to investigate updated data of the U.S. budget deficits and real interest rates. We employ a multi-model approach to thoroughly investigate the properties of two time series, namely the U.S. federal budget deficits (BDEF) and real interest rates (INTRATE) for the study period from 1798 to 2009. It is found that BDEF and INTRATE are I(0) processes. The AR (2) is the most appropriate model for the BDEF series, while the ARMA (3,2) is the proper model for the INTRATE series. The estimated VAR (2) model, comprising the two stationary series BDEF and INTRATE, implies that the BDEF series has no effect on the INTRATE series. The Granger-causality test also shows that there is no direction of causality from the BDEF series to the INTRATE series. Our findings are consistent with what the Ricardian Equivalence theorem predicts and, therefore, support the proposition that the budget deficits are neutral. This study significantly contributes to the extant literature of the relationship between the budget deficits and the real interest rates by applying the multi-model approach. Furthermore, our long time series dataset enables us to make reliable inferences. 9 5 86-102 2022-08-19T12:10:46Z 2022-08-19T12:10:46Z 2013 Journal article Bài báo đăng trên tạp chí quốc tế (có ISSN), bao gồm book chapter 2065-0175 http://scholar.dlu.edu.vn/handle/123456789/835 en Acta Universitatis Danubius Œconomica 2065-0175 Danubius University Press Romania |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
ARMA VAR Ricardian Equivalence Theorem Budget Deficits Interest Rates |
| spellingShingle |
ARMA VAR Ricardian Equivalence Theorem Budget Deficits Interest Rates Nguyễn, Văn Tuấn Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem |
| description |
This study re-examines the Ricardian Equivalence theorem (RET) by using advanced time
series econometric models to investigate updated data of the U.S. budget deficits and real interest
rates. We employ a multi-model approach to thoroughly investigate the properties of two time series,
namely the U.S. federal budget deficits (BDEF) and real interest rates (INTRATE) for the study
period from 1798 to 2009. It is found that BDEF and INTRATE are I(0) processes. The AR (2) is the
most appropriate model for the BDEF series, while the ARMA (3,2) is the proper model for the
INTRATE series. The estimated VAR (2) model, comprising the two stationary series BDEF and
INTRATE, implies that the BDEF series has no effect on the INTRATE series. The Granger-causality
test also shows that there is no direction of causality from the BDEF series to the INTRATE series.
Our findings are consistent with what the Ricardian Equivalence theorem predicts and, therefore,
support the proposition that the budget deficits are neutral. This study significantly contributes to the
extant literature of the relationship between the budget deficits and the real interest rates by applying
the multi-model approach. Furthermore, our long time series dataset enables us to make reliable
inferences. |
| format |
Journal article |
| author |
Nguyễn, Văn Tuấn |
| author_facet |
Nguyễn, Văn Tuấn |
| author_sort |
Nguyễn, Văn Tuấn |
| title |
Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem |
| title_short |
Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem |
| title_full |
Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem |
| title_fullStr |
Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem |
| title_full_unstemmed |
Do budget deficits affect real interest rates? A test of Ricardian equivalence theorem |
| title_sort |
do budget deficits affect real interest rates? a test of ricardian equivalence theorem |
| publisher |
Danubius University Press |
| publishDate |
2022 |
| url |
http://scholar.dlu.edu.vn/handle/123456789/835 |
| _version_ |
1768305864895102976 |