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Characteristics of fiscal policy in Croatia: does it depend on the phase of the business cycle?*
Vladimir Arčabić** 
Article | Year: 2021 | Pages: 433 - 457 | Volume: 45 | Issue: 4 Received: July 1, 2021 | Accepted: September 20, 2021 | Published online: December 6, 2021
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FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
Note: Shaded areas represent the recession periods in Croatia.
Note: Shaded areas represent the recession periods in Croatia. Vertical red lines indicate the beginning and the end of the excessive deficit procedure in Croatia (2014:1-2017:2). The rolling window size is 20 quarters (five years). Regression is estimated with HAC standard errors based on the Newey-West window and four lags.
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|
LM-HAM
|
LM-HP
|
LM-SVAR
|
TR-HAM
|
TR-HP
|
TR-SVAR
|
MS-HAM
|
MS-HP
|
MS-SVAR
|
|
|
|
|
|
|
|
|
|
|
|
Threshold
|
|
|
|
-3,352
|
-0.655
|
0.413
|
|
|
|
|
Constant
|
-1.055**
|
-0.761**
|
-1.184*
|
|
|
|
|
|
|
|
(0.024)
|
(0.044)
|
(0.059)
|
|
|
|
|
|
|
|
Lagged
CAPB/GDP
|
0.798***
|
0.918***
|
0.863***
|
|
|
|
|
|
|
|
(0.000)
|
(0.000)
|
(0.000)
|
|
|
|
|
|
|
|
Lagged
debt/GDP
|
0.013**
|
0.013**
|
0.018*
|
|
|
|
|
|
|
|
(0.044)
|
(0.022)
|
(0.065)
|
|
|
|
|
|
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Lagged
output gap
|
0.061**
|
0.101***
|
0.009
|
|
|
|
|
|
|
|
(0.020)
|
(0.008)
|
(0.649)
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|
|
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Constant
- UP
|
|
|
|
-1.049**
|
-2.119***
|
-3.472***
|
-1.239***
|
-0.828**
|
-1.066
|
|
|
|
|
(0.035)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.015)
|
(0.150)
|
|
Constant
– DOWN
|
|
|
|
-0.642
|
-0.321
|
-2.066*
|
-0.370
|
-0.214***
|
-1.222***
|
|
|
|
|
(0.602)
|
(0.486)
|
(0.079)
|
(0.733)
|
(0.000)
|
(0.000)
|
|
Lagged
CAPB/GDP-UP
|
|
|
|
0.761***
|
0.766***
|
0.439***
|
0.642***
|
0.928***
|
0.856***
|
|
|
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
Lagged
CAPB/GDP-DOWN
|
|
|
|
-0.797
|
1.005***
|
0.872
|
1.06***
|
0.929***
|
1.039***
|
|
|
|
(0.151)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
Lagged
debt/GDP-UP
|
|
|
|
0.014**
|
0.034***
|
0.036***
|
0.017***
|
0.013**
|
0.016
|
|
|
|
(0.045)
|
(0.000)
|
(0.004)
|
(0.005)
|
(0.014)
|
(0.149)
|
|
Lagged
debt/GDP-DOWN
|
|
|
|
-0.131***
|
0.008
|
0.032*
|
0.004
|
0.018***
|
0.024***
|
|
|
|
(0.006)
|
(0.202)
|
(0.075)
|
(0.822)
|
(0.000)
|
(0.000)
|
|
Lagged output
gap-UP
|
|
|
|
0.06***
|
0.114***
|
0.177***
|
0.070***
|
0.097**
|
0.002
|
|
|
|
(0.005)
|
(0.003)
|
(0.000)
|
(0.002)
|
(0.035)
|
(0.945)
|
|
Lagged
output gap-DOWN
|
|
|
|
-0.674***
|
0.158***
|
0.027
|
0.017
|
0.198***
|
0.071***
|
|
|
|
(0.007)
|
(0.007)
|
(0.493)
|
(0.822)
|
(0.000)
|
(0.000)
|
|
1st-regime
volatility
|
|
|
|
|
|
|
-0.949***
|
-0.476***
|
-0.549***
|
|
|
|
|
|
|
(0.000)
|
(0.000)
|
(0.000)
|
|
2nd-regime
volatility
|
|
|
|
|
|
|
0.064
|
-6.008***
|
-3.786***
|
|
|
|
|
|
|
(0.699)
|
(0.000)
|
(0.000)
|
|
Log-likelihood/R-squared
|
0.779
|
0.914
|
0.941
|
-77,405
|
-63,870
|
-41.652
|
-75.288
|
-59,593
|
43.460
|
|
Wald
Test - lagged output gap
|
|
|
|
9.096***
|
0.444
|
6.471**
|
0.496
|
4.764**
|
6.833**
|
|
(Chi-Square(1),
p-value)
|
|
|
|
(0.003)
|
(0.508)
|
(0.013)
|
(0.484)
|
(0.039)
|
(0.012)
|
|
Wald
Test - lagged debt/GDP
|
|
|
|
9.617***
|
9.973***
|
0.044
|
0.516
|
1.208
|
0.464
|
|
(Chi-Square(1),
p-value)
|
|
|
|
(0.002)
|
(0.002)
|
(0.835)
|
(0.473)
|
(0.272)
|
(0.499)
|
|
Serial
Correlation LM Test
|
27.083***
|
21.267**
|
29.412***
|
23.728**
|
17,714
|
32.279***
|
24.507**
|
18.895*
|
23.677**
|
|
(Chi-Square(1),
p-value)
|
(0.008)
|
(0.047)
|
(0.003)
|
(0.022)
|
(0.125)
|
(0.001)
|
(0.017)
|
(0.091)
|
(0.023)
|
|
White
Heteroscedasticity Test
|
10,371
|
12,899
|
5,702
|
15,008
|
27.61*
|
15.272
|
|
|
|
|
|
(0.321)
|
(0.167)
|
(0.769)
|
(0.524)
|
(0.091)
|
(0.705)
|
|
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|
Note: Horizontal red line represents the estimated threshold value. Shaded areas represent the recession periods in Croatia.
|
|
LM-HAM
|
LM-HP
|
LM-SVAR
|
TR-HAM
|
TR-HP
|
TR-SVAR
|
MS-HAM
|
MS-HP
|
MS-SVAR
|
|
Threshold
|
|
|
|
-3.592
|
-0.254
|
2,055
|
|
|
|
|
Constant
|
-0.901**
|
-1.208***
|
-5.571***
|
|
|
|
|
|
|
|
(0.032)
|
(0.000)
|
(0.000)
|
|
|
|
|
|
|
|
Lagged
CAPB/GDP
|
0.839***
|
0.901***
|
0.393***
|
|
|
|
|
|
|
|
(0.000)
|
(0.000)
|
(0.004)
|
|
|
|
|
|
|
|
Lagged
debt/GDP
|
0.011*
|
0.018***
|
0.083***
|
|
|
|
|
|
|
|
(0.061)
|
(0.005)
|
(0.000)
|
|
|
|
|
|
|
|
Lagged
output gap
|
0.053**
|
0.115***
|
0.091
|
|
|
|
|
|
|
|
(0.045)
|
(0.004)
|
(0.101)
|
|
|
|
|
|
|
|
EPU
index
|
0.001
|
0.002*
|
0.002
|
|
|
|
|
|
|
|
(0.406)
|
(0.064)
|
(0.726)
|
|
|
|
|
|
|
|
Constant
- UP
|
|
|
|
-1.241**
|
-2.802***
|
-3.223***
|
-1.666***
|
-1.291***
|
-2.196***
|
|
|
|
|
(0.015)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
Constant
- DOWN
|
|
|
|
-7.197***
|
0.510
|
-1.327
|
-0.233
|
-0.548***
|
-1.318
|
|
|
|
|
(0.000)
|
(0.265)
|
(0.181)
|
(0.754)
|
(0.000)
|
(0.438)
|
|
Lagged
CAPB/GDP-UP
|
|
|
|
0.785***
|
0.766***
|
0.545***
|
0.628***
|
0.896***
|
0.517***
|
|
|
|
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
Lagged
CAPB/GDP-DOWN
|
|
|
|
-0.102
|
1.084***
|
0.878***
|
1.174***
|
0.981***
|
0.737***
|
|
|
|
|
(0.565)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
Lagged
debt/GDP-UP
|
|
|
|
0.016**
|
0.042***
|
0.026*
|
0.017***
|
0.018***
|
0.028***
|
|
|
|
|
(0.021)
|
(0.000)
|
(0.066)
|
(0.002)
|
(0.006)
|
(0.007)
|
|
Lagged
debt/GDP-DOWN
|
|
|
|
0.062***
|
0.000
|
0.022
|
0.001
|
0.021***
|
0.027
|
|
|
|
|
(0.000)
|
(0.958)
|
(0.152)
|
(0.912)
|
(0.000)
|
(0.254)
|
|
Lagged
output gap-UP
|
|
|
|
0.061**
|
0.164***
|
0.224***
|
0.059***
|
0.096*
|
0.159***
|
|
|
|
|
(0.012)
|
(0.000)
|
(0.000)
|
(0.003)
|
(0.065)
|
(0.000)
|
|
Lagged
output gap-DOWN
|
|
|
|
-0.319***
|
0.237***
|
0.031
|
0.020
|
0.201***
|
0.081**
|
|
|
|
|
(0.000)
|
(0.000)
|
(0.416)
|
(0.834)
|
(0.000)
|
(0.018)
|
|
EPU index-UP
|
|
|
|
0.003
|
0.003***
|
0.0001
|
-0.001
|
0.001
|
0.001
|
|
|
|
|
(0.120)
|
(0.002)
|
(0.352)
|
(0.1951)
|
(0.516)
|
(0.857)
|
|
EPU index-DOWN
|
|
|
|
-0.029***
|
-0.000
|
0.000
|
0.005*
|
0.002
|
0.001
|
|
|
|
|
(0.000)
|
(0.988)
|
(0.971)
|
(0.057)
|
(0.000)
|
(0.726)
|
|
1st-regime
volatility
|
|
|
|
|
|
|
-0.990***
|
-0.529***
|
-0.750***
|
|
|
|
|
|
|
|
(0.000)
|
(0.000)
|
(0.000)
|
|
2nd-regime
volatility
|
|
|
|
|
|
|
-0.061
|
-4.528***
|
-0.993***
|
|
|
|
|
|
|
|
(0.7655)
|
(0.000)
|
(0.000)
|
|
Log-likelihood/R-squared
|
0.798
|
0.931
|
0.646
|
-65,321
|
-51.838
|
-41.869
|
-68.748
|
-50,577
|
-37.686
|
|
Wald
Test - lagged output gap
|
|
|
|
37.966***
|
1,043
|
8.616***
|
0.140
|
3.957**
|
2.065
|
|
(Chi-Square(1),
p-value)
|
|
|
|
(0.000)
|
(0.307)
|
(0.003)
|
(0.708)
|
(0.047)
|
(0.157)
|
|
Wald
Test - lagged debt/GDP
|
|
|
|
0.003
|
24.217***
|
0.033
|
1.309
|
0.082
|
0.001
|
|
(Chi-Square(1),
p-value)
|
|
|
|
(0.857)
|
(0.000)
|
(0.856)
|
(0.253)
|
(0.775)
|
(0.981)
|
|
Serial
Correlation LM Test
|
23.894**
|
19.969*
|
12,158
|
25.041**
|
31.499***
|
31.155***
|
25.063*
|
10,634
|
27.900
|
|
(Chi-Square(1),
p-value)
|
(0.021)
|
(0.068)
|
(0.433)
|
(0.015)
|
(0.002)
|
(0.002)
|
(0.015)
|
(0.561)
|
(0.006)
|
|
White
Heteroscedasticity Test
|
17,125
|
13,619
|
24.456
|
27,948
|
35.773
|
30.542
|
|
|
|
|
(0.250)
|
(0.478)
|
(0.143)
|
(0.361)
|
(0.180)
|
(0.387)
|
|
|
|
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December, 2021
IV/2021 |
