Modeling of budget deficit fluctuations and analysis of outlier factors (Case study from 1982 to 2022)

Document Type : Original Article

Authors

1 phd student Budget and economic review expert of Isfahan Regional Water Company

2 Assistant Professor, Department of Economics, Faculty of Faculty of Administrative Sciences and Economics, Shahid Ashrafi University of Isfahani (RA), Isfahan, Iran

Abstract

From the point of view of academic researchers as well as those involved in financial sciences, it is important to predict the fluctuations of the budget deficit. In Iran's difficult economic conditions that with increasing environmental pressures and the limitation of external sources And the decrease in oil prices is accompanied by sanctions. An increase in the budget deficit has heavy consequences on the economy. Therefore, the main purpose of this article Modeling the trend of financial deficit fluctuations and forecasting it. In this study, Simultaneously using GARCH models To calculate and model budget deficit fluctuations will be paid. The purpose of this study is to use univariate GARCH models.

. Many articles that focused on GARCH modeling suggested that using the p=q=1 specification is much more successful in modeling most of the volatility of financial returns.

The purpose of this study is to use univariate GARCH models. The main problem with standard GARCH is that positive and negative shocks have the same effects on volatility, although the effects of these positive and negative shocks may be symmetric. The volatility volatility means that bad news (negative impulses) lead to more future price fluctuations and budget deficit fluctuations than good news. In this article, the relationship between the impulses of the budget deficit (news) and conditional volatility will be investigated using exponential GARCH, power GARCH and threshold GARCH models.

The results show that during the period 1982-2022, Shocks on the economy In the short term, it is not significant on the turbulence of the budget deficit But the shocks on the economy in the long term, It is significant on the budget deficit according to GARCH models. The findings of this research show that The positive impulses of the economy in the short term have no effect on the budget deficit, but its negative effect is evident in the long term. Also, modeling the instability of the budget deficit through the Garch family models prevents the provision of temporary solutions for the output and the temporary effect. Common certainty is significant and this indicates the impact of shocks and news on the budget deficit. Therefore, positive and negative shocks have different effects on fluctuations, the negative coefficient indicates the existence of a significant leverage effect.

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Main Subjects

References

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Public Sector Economics Studies
Volume 3, Issue 4
December 2024
Pages 531-550

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History

  • Receive Date: 11 November 2023
  • Revise Date: 15 September 2024
  • Accept Date: 29 November 2023

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