Table 12 Asymmetric effect of fiscal forecast errors on expectations of economic growth

From: Lack of fiscal transparency and economic growth expectations: an empirical assessment from a large emerging economy

Regressors: E(Yt,T) E(Yt,T+12m) E(Yt,T+1)
Model 1 Model 2 Model 3 Model 1 Model 2 Model 3 Model 1 Model 2 Model 3
\(Fiscal_{t,T,t - 1}^{ + }\) 4.119*
(2.134)
   4.433***
(1.325)
   1.965***
(0.634)
  
\(Fiscal_{t,T + 12m,t - 1}^{ + }\)   4.562**
(1.880)
   1.376*
(0.805)
   0.915*
(0.542)
 
\(Fiscal_{t.T + 1.t - 1}^{ + }\)    2.009
(2.593)
   2.341
(2.118)
   1.126
(1.356)
\(Fiscal_{t,T,t - 1}^{ - }\) − 1.134**
(0.476)
   − 0.726**
(0.287)
   − 0.398**
(0.148)
  
\(Fiscal_{t,T + 12m,t - 1}^{ - }\)   − 0.803***
(0.253)
   − 0.329***
(0.122)
   − 0.206**
(0.104)
 
\(Fiscal_{t.T + 1.t - 1}^{ - }\)    − 0.987**
(0.257)
   − 0.601***
(0.140)
   − 0.354**
(0.096)
GAPt1 0.209**
(0.090)
0.085
(0.119)
0.308**
(0.124)
0.299***
(0.091)
0.310***
(0.074)
0.261***
(0.059)
0.099*
(0.053)
0.040
(0.047)
0.007
(0.053)
E(GBudgett.+12m)t1 1.058***
(0.200)
0.436***
(0.124)
0.311**
(0.134)
0.447***
(0.072)
0.152**
(0.077)
0.100
(0.062)
0.232***
(0.049)
0.018
(0.059)
0.051
(0.050)
E(πt+12m)t1-Target(πt+12m)t1 − 0.208
(0.274)
− 0.595***
(0.175)
− 0.263
(0.228)
− 0.390***
(0.110)
− 0.859***
(0.103)
− 0.506***
(0.109)
− 0.367***
(0.060)
− 0.620***
(0.079)
− 0.486***
(0.076)
ΔE(Exchanget.+12m)t1 5.378***
(1.733)
0.294
(2.396)
1.627
(2.738)
1.463
(1.438)
0.623
(0.992)
0.340
(0.829)
− 1.168
(0.921)
− 1.413
(1.062)
− 1.273
(0.834)
DISGOVt1 0.004
(0.024)
− 0.032***
(0.012)
− 0.006
(0.012)
− 0.017*
(0.009)
− 0.018***
(0.006)
− 0.020***
(0.008)
− 0.023***
(0.006)
− 0.034***
(0.005)
− 0.032***
(0.007)
GFCrisis − 0.921
(1.459)
− 2.942***
(1.007)
− 0.101
(1.343)
− 0.606
(0.707)
− 2.361***
(0.825)
− 1.667***
(0.619)
− 0.544
(0.351)
− 0.648*
(0.391)
− 0.675*
(0.366)
Adjusted R2 0.715 0.705 0.762 0.868 0.856 0.882 0.826 0.833 0.846
Instrum. Rank 25 24 25 25 23 23 25 20 23
J-statistic 11.262 13.595 16.219 15.457 11.680 12.125 11.382 9.291 7.893
Prob J-stat. 0.793 0.556 0.556 0.491 0.632 0.596 0.785 0.595 0.895
D-W-H test 4.353 5.115 3.950 3.220 9.037 5.910 2.662 6.433 7.528
Probability 0.823 0.745 0.861 0.919 0.339 0.657 0.953 0.598 0.480
  1. Marginal significance levels: (***) denotes 0.01, (**) denotes 0.05, and (*) denotes 0.1. \(Fiscal^{ + }\) is a fiscal performance better than expected, that is, equal to a negative fiscal forecast error (GBudgett < Et(GBudgett,h)), and 0 otherwise. We use the absolute value of negative fiscal forecast error in order to make the direction of the resulting coefficients more intuitive to interpret. \(Fiscal^{ - }\) is a fiscal performance worse than expected that is equal to a positive fiscal forecast error (GBudgett > Et(GBudgett,h)), and 0 otherwise. E(Yt,T) is the expectations of economic growth—current year, E(Yt,T+12m) is the expectations of economic growth—12 months ahead, and E(Yt,T+1) is the expectations of economic growth—next calendar year. Constant is included in the models but not reported for convenience. Robust (Newey-West) standard errors are in parentheses. GMM—one-step estimation. D–W–H test is the Durbin–Wu–Hausman test (difference in J-stats), and the null hypothesis is that the regressors are exogenous
  2. Effect of fiscal opacity on expectations of economic growth in bold