About this article
Article Category: Research Article
Published Online: Sep 30, 2018
Page range: 219 - 226
Received: May 17, 2018
Accepted: Sep 28, 2018
DOI: https://doi.org/10.2478/ijme-2018-0021
Keywords
© 2018 Maciej Wysocki, Cezary Wójcik published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Estimation results of the fiscal reaction functions for Poland from 2008 Q4 to 2017 Q2
| Coefficients | Estimate | Std. error | F-statistic | p-Value | Adjusted R-squared |
|---|---|---|---|---|---|
| (Intercept) | –12.14877 | 3.51475 | 11.23 on 4 and 30 DF | 1.093E–05 | 0.5461 |
| PS4 | 0.46872 | 0.11830 | |||
| OG | 0.19921 | 0.07687 | |||
| OG4 | 0.08874 | 0.04901 | |||
| D4 | 0.21766 | 0.06726 |
Estimation results of fiscal reaction functions for Poland from 2008 Q4 to 2017 Q2 for the gross consolidated debt without the effect of the redemption of the government bond share of the open pension funds
| Coefficients | Estimate | Std. error | F-statistic | p-Value | Adjusted R-squared |
|---|---|---|---|---|---|
| (Intercept) | –17.26222 | 3.72530 | 17.76on 4 and 45 DF | 3.857E–07 | 0.6908 |
| PS4 | 0.25440 | 0.13643 | |||
| OG | 0.15516 | 0.08800 | |||
| OG4 | 0.06402 | 0.05499 | |||
| D4 | 0.28941 | 0.06353 |
Values of test statistic and critical values of trace statistic of Lütkepohl-Saikkonen-Trenkler test
| Number of vectors | Test | 10% | 5% | 1% |
|---|---|---|---|---|
| 6.30 | 5.42 | 6.79 | 10.04 | |
| 19.30 | 13.78 | 15.83 | 19.85 | |
| 35.1 | 25.93 | 28.45 | 33.76 |
Estimation results of the fiscal reaction functions for Poland from 2004 Q1 to 2008 Q3
| Coefficients | Estimate | Std. error | F-statistic | p-Value | Adjusted R-squared |
|---|---|---|---|---|---|
| (Intercept) | –26.82728 | 20.4400 | 2.547 on 4 and 10 DF | 0.1051 | 0.3065 |
| PS4 | 0.62989 | 0.34854 | |||
| OG | –0.08150 | 0.08279 | |||
| OG4 | 0.18791 | 0.19003 | |||
| D4 | 0.57735 | 0.42912 |
Unit root test results of primary surplus (PS), public debt stock (D), and output gap (OG) for Poland
| Variable | ADF | PP | KPSS | ZA (intercept and trend) | |||
|---|---|---|---|---|---|---|---|
| Order | Test statistic | Critical value at a=5% | Break | ||||
| Primary surplus (PS) | I(2) | I(0) | I(0) | I(2) | –12.2056 | –4.8 | 2010 Q4 |
| Public debt stock (D) | I(I) | I(I) | I(I) | I(2) | –5.8836 | –4.8 | 2014 Q1 |
| Output gap (OG) | I(0) | I(I) | I(I) | I(0) | –6.7067 | –5.08 | 2008 Q4 |
Values of the test statistic and the critical values of the maximal eigenvalue statistic of the Johansen procedure
| Number of vectors | Test | 10% | 5% | 1% |
|---|---|---|---|---|
| 3.74 | 6.5 | 8.18 | 11.65 | |
| 8.10 | 12.91 | 14.9 | 19.19 | |
| 27.07 | 18.9 | 21.07 | 25.75 |
Estimation results of fiscal reaction function for Poland from 2004 Q1 to 2017 Q2
| Coefficients | Estimate | Standard error | F-statistic | p-Value | Adjusted R-squared |
|---|---|---|---|---|---|
| (Intercept) | –8.48962 | 2.99832 | 7.441 on 4 and 45 DF | 1.09E–04 | 0.3446 |
| PS4 | 0.55059 | 0.12596 | |||
| OG | 0.06635 | 0.04602 | |||
| OG4 | –0.01698 | 0.04840 | |||
| D4 | 0.15418 | 0.06012 |
Estimation results of fiscal reaction functions for Poland from 2004 Q1 to 2017 Q2 for gross consolidated debt without the effect of the redemption of the government bond share of the open pension funds
| Coefficients | Estimate | Std. error | F-statistic | p-Value | Adjusted R-squared |
|---|---|---|---|---|---|
| (Intercept) | –7.37635 | 2.11326 | 8.601 on 4 and 45 DF | 3.034E–05 | 0.3829 |
| PS4 | 0.49810 | 0.12235 | |||
| OG | 0.07357 | 0.04482 | |||
| OG4 | –0.01576 | 0.04644 | |||
| D4 | 0.12523 | 0.04005 |