Using the Hurst exponent, the paper provides the calculated value of the level of persistence in time series data. A visual analysis of the dynamics of state debt led to the conclusion about the unstable debt situation in Ukraine and a significant increase in debt over the past six years. The study covers the time series of Ukraine’s state debt data for the period from December 2004 to November 2020. The paper is aimed at determining the level of persistence and forecasting future values of state debt in the short term using time series analysis, i.e., an ARIMA model. At the same time, special attention should be paid to developing an effective state debt management system based on its forecast values. One of the pressing problems in the modern development of the world financial system is an excessive increase in state debt, which has many negative consequences for the financial system of any country. Moreover, the findings of this study contribute to the literature regarding the public debt ratio and economic growth in developing countries. Almost all models indicate that the relationship between debt-to-GDP is weakly negatively correlated with economic growth, where a 1% increase in debt-to-GDP decreases economic growth by 0.034%, even the average debt-to-GDP of our sample is 35.02%. The study employs panel regression models such as ordinary least squares (OLS), fixed-effects, and random-effects models, in order to test the relationship of the public debt-to-gross domestic product (GDP). Our sample consists of three subgroups: the countries of the Western Balkans, upper-middle-income countries states members of the European Union (EU), and other developing European countries. Therefore, the aim of this paper is to empirically analyze the relationship between the public debt and economic growth for 16 upper-middle-income European countries for the period from 2000 to 2020. Most results from numerous studies show that the public debt rate has a negative effect on economic growth (Misztal, 2021 Panizza & Presbitero, 2014 Afonso & Alves, 2015 Reinhart & Rogoff, 2010a). These economies were least studied in this context. Future studies should investigate the effects of public debt on the economic growth in the upper-middle-income economies. The findings may help governments and policymakers to design their fiscal policy by investigating how existing debts affect the growth level. Besides, the 90 percent threshold as argued in the Reinhart-Rogoff hypothesis is also not applied across all countries. The relationship can be positive, negative or even non-linear. It was found that there is no mutual consensus on the relationship between public debt and economic growth. 33 articles were chosen as the main articles to be reviewed. A systematic review on related articles from SCOPUS database were conducted by adopting a standard procedure in the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA), namely identification, screening and eligibility. Hence, the aim of this study is to examine whether there exists mutual consensus on the effects of public debt on the economic growth of a country or group of economies. The controversial findings by Reinhart and Rogoff have continuously generated debates on the threshold of debt towards GDP. © 2018, Kauno Technologijos Universitetas. However, house prices, leading by 2 years, have negative influence on the GDP, but this influence is almost 5 times weaker than the negative influence of unlagged public debt. House prices unlagged have similar absolute value of positive influence on the GDP coefficient as the absolute value of the negative influence of lagged public debt, according to the regression coefficients received. It was confirmed by measuring this influence with zero, one and two and three years lags, but this positive influence was 2–3 times lower than the negative influence of public debt on the GDP. Private debt has definite positive influence on the GDP as the dependent variable. This finding also confirms the necessity of the transformation of the European Monetary Union to the European Financial Union. This is not surprising having in mind limited functionality of the European central bank as a lender of the last resort for the countries of the monetary union, that is, for the most of the analysed countries. The research has confirmed strong negative influence of public debt with zero, one and two year’s lags as an independent variable on the GDP as the dependent variable. Least squares and autoregressive AR(p) model were used with cross-section and period both fixed by dummy variables. The panel data analysis of the influence of change in real public debt, real private debt, and deflated house prices on the GDP in selected European countries is performed.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |