Analysis of response of macroeconomic indicators to fiscal policy shocks

Straipsnyje nagrinėjama daug diskusijų tarp skirtingų ekonominės minties mokyklų kelianti tema – fiskalinės politikos poveikis pagrindiniams šalies makroekonominiams rodikliams. Remiantis struktūriniais vektorinės autoregresijos modeliais, tiriama Baltijos šalių makroekonominių rodiklių (bendrojo vidaus produkto, užimtumo, tiesioginių užsienio investicijų) reakcija į valdžios sektoriaus išlaidų ir mokesčių pokyčius, taip pat mokesčių keitimo įtaka mokesčių surinkimui. Analizė grindžiama Cholesky dekomponavimo metodu ir Blanchardo bei Perotti modeliu. Gauti rezultatai lyginami su ekonomikos teorijų nuostatomis.Fiscal policy is generally seen as an instrument of economic stabilization. Historically, the impact of fiscal policy on an economy has been a topic of on-going discussion in the academic community. Under the classical approach, fiscal policy is unable to efficiently stimulate the economy. Meanwhile, the Keynesian approach to fiscal policy claims that decreasing taxes and/or increasing spending may effectively stimulate aggregate demand. In today's context, the latter discussion is somewhat outdated--more relevant is the debate on the so-called new classical assumptions on the stabilization power of fiscal policy. The effects of fiscal policy on macroeconomic variables have only been examined in a rather fragmented manner in the empirical literature focusing on the Baltic States. The vector autoregression models, which have remained among the most popular methods for researching the dynamic effects of fiscal policy, have not been employed until now. The principal advantage of VAR models is that they do not necessitate defining the approach--whether Keynesian or new classical--as the basis for the assumptions used. The current paper extends the standard SVAR model to six variables. In addition, the selection of macroeconomic variables has taken into account the fact that fiscal policy, for specific taxes, is an important factor in attracting foreign direct investment (FDI). As a result, this article investigates the impact of fiscal variables on FDI, in addition to GDP and employment. To measure the impact of changes in fiscal variables on selected macroeconoic variables, identification of the SVAR model is necessary. The identification is achieved using Cholesky decomposition and a methodology created by Blanchard and Perotti. The most robust results regarding the impact of tax revenue changes on macro variables were obtained in the case of Lithuania. In particular, we obtained an unambiguous conclusion that increases in taxes have a negative impact on GDP, employment and FDI. In the case of Latvia, only the increase in corporate income tax has a negative impact on macroeconomic indicators. In the case of Estonia, GDP, employment and FDI are relatively insensitive to tax policy changes. In the case of Lithuania and Estonia, increases in government expenditure, in most cases, had negative effects on GDP, employment and FDI. In Latvia, the conclusion is less determinate. Using SVAR with Cholesky decomposition, the impact of an increase in government expenditure on GDP was negative. Using the Blanchard-Perotti approach, the negative reaction of the macroeconomic variables was observed only in the short term, while the long term effect was positive