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b. Fiscal policy ratio
When the fiscal policy ratio is higher or the monetary policy ratio is lower, its interest rate sensitivity of output is smaller. Hence, the adjustment of capital requirement to per unit change of GDP (𝑑𝑘𝑑𝑌) should be larger.
c. Money supply elasticity of output
If the money supply elasticity of output is larger, its interest rate sensitivity of output will be larger and the adjustment of capital requirement to per unit change of GDP (𝑑𝑘𝑑𝑌) should be smaller.
d. Government expenditure elasticity of output
If the government expenditure elasticity of output is larger, its interest rate sensitivity of output is smaller. If the interest rate sensitivity of output is smaller, the adjustment of capital requirement to per unit change of GDP (𝑑𝑘𝑑𝑌) should be larger.
f. Trade openness
When one country is more open-minded to accept the international trade, its interest rate sensitivity of output will be smaller. That is, the adjustment of capital requirement to per unit change of GDP (𝑑𝑘𝑑𝑌) should be larger.
4.6 Estimation and Policy Suggestion
To estimate the adjustment of capital requirement to per unit change of GDP, ℎ’(𝑘𝑎), in 2012 Q4, the regression in section 4.5 is used to calculate the values of ℎ′(𝑘𝑎)̂ . Most of the ℎ′(𝑘𝑎)̂ , which are graphed in Figure 6, are positive in 2012 Q4.
Only ℎ′(𝑘𝑎)̂ in Luxembourg, Ireland, Slovakia, Estonia, and Malta are negative.
Therefore, it can be suggested that policy in those nations with debt crises should be
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different. Adjust of capital requirement should be counter-cyclical in Italy, Greece, Spain, and Portugal, but pro-cyclical in Ireland during 2011 Q4.9
During 2011 Q4, the change of capital requirement to the change of GDP is both positive and largest in Belgium. It is becoming smaller in Slovenia, Netherlands, Austria, Germany, Finland, Portugal, Spain, Italy, and Greece. The positive and smallest one is the value of France. In the pro-cyclical countries, the change of capital requirement to the change of GDP is smallest in Luxembourg, then becoming larger in Ireland, Slovakia, Estonia, and Malta.
9 Cyprus is not included in this estimation because some data is still not available in 2011 Q4.
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Fig 6. Estimation of the Interest Rate Sensitivity of Output, Growth Rate (%), and Current Account to GDP Ratio (%) in EU-17 in 2011 Q4 h'(ka) 21.17 47.49 198.9 1701 2210 2871 3122 3232 3454 4126 4351 -2786 -1965 -1184 -626 -556 -4000 Growth Rate (%) 7.87% -3.41 6.88% -1.27 -0.28 4.55% 0.98% 7.69% 4.39% -8.62 5.06% 7.68% -2.58 -2.75 2.43% -4.60
-10.00% CA -0.01 -2.04 11.73 2.791 0.073 0.174 -4.15 -2.68 -1.53 -11.4 -2.07 6.634 2.065 0.968 4.196 1.627 -0.15
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Observing the relationship between ℎ’(𝑘𝑎) and current account, all the five pro-cyclicality countries have positive values of current account. However, there are positive or negative values of current account in counter-cyclicality countries.
Combining the estimation of ℎ’(𝑘𝑎) and Growth rate, the suggestion of policies for capital requirement in EU-17 are listed in the Table 5.
Table 5. Suggestion of Policies for Capital Requirement in 2011 Q4 Positive GDP growth rate in
2011 Q4
Negative GDP growth rate in 2011 Q4
Counter-cyclicality policy for capital
Raise the adjustment of capital requirement in Italy,
Spain, Portugal, Belgium, Netherlands, Finland, and
France.
Lower the adjustment of capital requirement in Greece, Germany, Slovenia,
and Austria.
Pro-cyclicality policy for capital
Lower the adjustment of capital requirement in Luxembourg and Estonia.
Raise the adjustment of capital requirement in Ireland, Slovakia, and Malta.
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5 Conclusion
The results of the model show that the standard of capital requirement should not be comprehensive across EU-17. The adjustment of capital requirement should be considered thoroughly for the various macroeconomic environments in different countries and during different periods.
For pro-cyclicality countries, when the economy is in prosperity, the capital requirement should be decreased. However, the capital requirement should be stricter during the period of economic recession. For the counter-cyclicality countries, the situations will be converse. Furthermore, if we have collected the updated data, then we could obtain the estimation in every period by the established model. For example, the regression model suggests that in 2011 Q4 the capital requirement should be pro-cyclical in Luxembourg, Ireland, Slovakia, Estonia, and Malta; counter-cyclical in other EU-17 (except for the Cyprus). For those countries involved in the debt crisis, Italy, Spain, Portugal, and Ireland should raise the adjustment of capital requirement, and Greece should lower the adjustment of capital requirement.
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Table 6. The Descriptions of Data
Variable Description Unit Source
Y Gross domestic product
Millions of Euro
Datastream C Final consumption expenditure
of households Datastream
I Gross fixed capital formation Datastream
X Exports of goods and services Datastream
M Imports of goods and services Datastream
G(consumption) Final consumption expenditure
of general government Eurostat
G(expenditure) Total general government
expenditure Eurostat
M𝑆 Money supply 2 Datastream
CPI Harmonized European Union
Basis (2005=100) Index Datastream
R
Interbank interest rate- 3 month (if not available, treasury or deposit rate are substituted for
interbank)
Percentage
Datastream/
Eurostat/
OECD iLibrary T Total tax revenue of the general
government (substitute: Net saving in
Luxembourg and Malta)
Eurostat
CA Current account (net) Eurostat
F Current account, Income (net) Eurostat
TR Current account, Current
transfers (net) Eurostat
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Table 7. The Descriptions of Interest Rates (unit: percentage)
Nation Description Source
Austria OE INTERBANK OFFERED RATE:
THREE MONTH
Datastream Belgium BG THREE MONTH INTERBANK
OFFERED RATE (EP)
Datastream France FR PIBOR / EURIBOR - 3-MONTH
(MTH.AVG.)
Datastream Germany BD FIBOR - 3 MONTH (MTH.AVG.) Datastream Finland FN HELIBOR - 3 MONTH (MTH.AVG.) Datastream Netherlands NL INTERBANK THREE MONTH:
OFFERED RATE (EP)
Datastream Greece GR THREE MONTH INTERBANK
RATE (EP)
Datastream Ireland IR INTERBANK OFFERED RATE - 3
MONTH (EP)
Datastream Italy IT INTERBANK DEPOSIT
RATE-AVERAGE ON 3-MONTHS Portugal PT LISBON INTERBANK OFFER RATE
- 3 MONTH (EP)
Datastream Cyprus INTERBANK 1-6 MONTH INTEREST
RATE
Central Bank of Cyprus Estonia TALIBOR Interbank- 3 month Central Bank of Estonia Luxembourg MFI interest rates - Deposits Eurostat
Malta MA TREASURY BILL RATE - 3 MONTH
Datastream
Slovakia Interbank rate-3 month OECD iLibrary
Slovenia SJ TREASURY BILL RATE - 3 MONTH (EP)
Datastream
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Table 8. The Results of Simple Regressions
Nation Results ∆𝑩 ̂𝒇
Austria
Coefficient -0.0544 -43.2671 295.3604 0.6876 0.0786 0.4623 632.7606 -387.1018 (P-value) (0.4826) (0.0319) (0.0033) (0.0000) (0.0000) (0.0036) (0.0041) (0.5653) Belgium Coefficient 0.1114 20.6836 192.6522 1.1487 0.0176 0.1815 861.7395 -387.4431
(P-value) (0.0203) (0.0630) (0.2391) (0.0000) (0.0000) (0.2204) (0.0851) (0.5348) Cyprus Coefficient 0.7357 2377.1132 49.6110 0.4340 52.2010 -0.6040 176.5300 66.6248 (P-value) (0.0000) (0.0229) (0.4022) (0.0000) (0.0000) (0.3739) (0.5903) (0.8854) Estonia
Coefficient 0.7569 -0.3683 81.4458 0.7517 0.0137 0.1829 -23.9509 28.7394 (P-value) (0.0000) (0.5841) (0.0110) (0.0000) (0.0000) (0.0305) (0.2539) (0.0199) Finland
Coefficient 0.5143 -33.8418 330.1788 0.5745 0.0333 0.0906 697.6792 -106.8312 (P-value) (0.0021) (0.0000) (0.0002) (0.0000) (0.0000) (0.3635) (0.0007) (0.8772) France
Coefficient 0.2455 -210.5349 2007.7071 0.4123 0.0513 0.1111 4088.7260 -2022.6728 (P-value) (0.0003) (0.0000) (0.0137) (0.0000) (0.0000) (0.0415) (0.0000) (0.6436) Germany Coefficient 0.3262 -366.7757 1931.2062 0.9380 0.0383 0.3657 5795.3632 -2742.0517
(P-value) (0.0054) (0.0000) (0.0389) (0.0000) (0.0000) (0.0000) (0.0000) (0.5426) Greece
Coefficient 0.7606 -45.6756 910.7447 0.3754 0.0605 -0.1643 767.4850 297.5160 (P-value) (0.0001) (0.0003) (0.0000) (0.0002) (0.0000) (0.4116) (0.1237) (0.5273) Ireland
Coefficient 0.2294 -65.4263 1714.0339 0.2871 0.0334 0.5223 195.1559 556.2931 (P-value) (0.0208) (0.2336) (0.0000) (0.0173) (0.1951) (0.0841) (0.7552) (0.5073) Italy
Coefficient 0.0451 -357.0801 2310.3225 0.6773 0.0446 -0.3800 5508.1058 344.8150 (P-value) (0.5640) (0.0000) (0.0000) (0.0000) (0.0000) (0.0005) (0.0000) (0.9058) Luxembourg Coefficient 0.3370 139.9829 71.3167 1.5734 0.0054 4.0476 4945.2658 -11.7347 (P-value) (0.0000) (0.0000) (0.3365) (0.0000) (0.5529) (0.4485) (0.4709) (0.9132) Malta
Coefficient 0.4997 0.5104 9.4137 1.0870 0.0266 15.0612 1786.3795 -4.8768 (P-value) (0.0001) (0.3327) (0.0302) (0.0000) (0.0000) (0.0004) (0.0001) (0.9162) Netherlands
Coefficient 0.2071 -64.5517 654.9895 1.2933 0.0636 0.0699 1708.7932 -38.8938 (P-value) (0.0007) (0.0246) (0.0116) (0.0000) (0.0000) (0.5834) (0.0095) (0.9628) Portugal Coefficient 0.1914 -12.6566 292.6725 0.6038 0.0374 -0.1033 206.1557 112.6440 (P-value) (0.1281) (0.1222) (0.0000) (0.0000) (0.0000) (0.3283) (0.0826) (0.6656) Slovakia Coefficient 0.7730 -8.9003 145.6630 0.8802 0.0124 0.1496 213.0344 18.4851 (P-value) (0.0000) (0.0001) (0.0278) (0.0000) (0.0000) (0.0405) (0.0154) (0.9116) Slovenia
Coefficient 0.9820 -2.3984 135.1240 0.8671 0.0097 0.0581 146.9495 35.6243 (P-value) (0.0000) (0.0000) (0.0002) (0.0000) (0.0000) (0.1721) (0.0000) (0.5112) Spain
Coefficient 0.3332 -333.2026 5590.0363 0.2928 0.0712 -0.0028 1454.9750 -754.1274 (P-value) (0.0002) (0.0000) (0.0000) (0.0045) (0.0000) 0.9694) (0.0592) (0.2690)
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Table 9. Values of the Interest Rate Sensitivity of Output (Unit: Index)
Italy France Slovakia Slovenia Greece Austria Spain Ireland Finland Germany Portugal Nether-
lands Estonia Cyprus Malta Luxem-
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Table 10. Government Consolidated Gross Debt
TIME/GEO Belgium Germany Estonia Ireland Greece Spain France Italy Cyprus Luxem-
bourg Malta Nether-
lands Austria Portugal Slovenia Slovakia Finland
2005Q2 96.8 67.9 4.8 29.9 102.4 44.8 66.5 109.7 70.9 5.7 72.0 54.1 71.8 63.5 26.3 34.9 40.2
2005Q3 95.6 68.5 4.8 29.2 103.0 43.7 66.2 108.0 71.4 5.7 70.3 52.7 71.1 66.4 26.5 34.3 39.6
2005Q4 92.0 68.6 4.6 27.5 110.0 43.2 66.8 105.4 69.4 6.1 69.7 51.8 64.2 67.7 26.7 34.2 41.7
2006Q1 95.1 68.8 4.3 27.9 108.5 42.3 66.5 107.7 68.6 6.5 69.3 51.0 66.9 67.7 26.9 34.7 38.1
2006Q2 92.2 68.8 4.0 27.5 108.4 41.0 65.7 109.3 68.1 6.5 65.4 50.6 69.4 69.6 26.9 33.5 40.4
2006Q3 91.8 68.9 3.9 26.1 107.7 40.7 65.6 108.5 66.6 6.6 65.5 49.6 66.3 69.0 26.4 31.9 37.3
2006Q4 88.0 68.0 4.4 24.8 107.7 39.7 64.1 106.1 64.7 6.7 64.4 47.4 62.3 69.3 26.4 30.5 39.6
2007Q1 90.0 67.3 3.8 24.9 109.2 39.6 65.3 106.9 65.5 6.6 63.6 47.7 66.3 67.5 28.1 28.7 36.8
2007Q2 88.7 67.3 3.4 24.5 107.9 39.1 66.3 106.7 62.7 6.9 65.2 48.1 68.5 67.5 24.8 31.3 37.1
2007Q3 89.7 65.6 3.4 28.6 106.3 37.7 65.6 105.4 59.8 6.7 62.4 46.9 70.7 67.8 23.5 30.3 33.9
2007Q4 84.1 65.2 3.7 24.8 107.5 36.3 64.2 103.1 58.8 6.7 62.3 45.3 60.2 68.3 23.1 29.6 35.2
2008Q1 87.5 65.4 4.1 27.5 108.0 35.5 65.8 105.6 52.9 7.1 61.3 46.3 61.8 67.4 24.4 26.6 33.4
2008Q2 86.4 66.3 3.9 32.4 108.5 36.0 66.3 105.0 50.9 7.2 63.2 46.3 61.6 68.6 22.3 25.8 33.7
2008Q3 87.1 65.8 4.1 38.7 109.8 36.9 66.8 104.5 48.9 7.2 63.0 46.8 61.7 69.2 22.0 26.1 29.9
2008Q4 89.3 66.7 4.5 44.2 113.0 40.2 68.2 105.7 48.9 13.7 62.3 58.5 63.8 71.6 21.9 27.9 33.9
2009Q1 95.1 68.8 5.2 51.2 121.4 43.5 71.5 111.8 54.6 14.3 63.7 61.5 67.9 74.3 25.4 28.8 38.6
2009Q2 96.4 72.8 5.8 59.5 125.8 47.5 75.4 113.9 69.5 14.7 67.0 60.8 70.5 79.8 30.4 32.7 35.1
2009Q3 98.0 73.9 6.2 62.3 128.6 50.2 77.5 117.0 68.8 15.1 68.2 61.5 69.7 79.6 35.1 35.0 39.5
2009Q4 95.8 74.4 7.2 65.1 129.4 53.9 79.1 116.0 58.5 14.8 68.1 60.8 69.5 83.1 35.3 35.6 43.5
2010Q1 99.9 74.6 7.2 78.3 132.4 55.7 81.2 118.0 62.3 15.1 68.7 61.5 70.2 84.0 38.1 36.1 45.1
2010Q2 100.0 75.4 7.0 78.4 134.6 57.8 83.7 118.8 62.8 20.1 70.0 63.2 72.5 87.6 38.0 39.1 47.2
2010Q3 98.7 75.6 6.8 88.4 138.8 58.8 82.0 119.4 59.9 19.9 70.6 63.1 71.9 91.1 38.3 38.3 47.2
2010Q4 96.0 83.0 6.7 92.5 145.0 61.2 82.5 118.6 61.5 19.1 69.4 62.9 71.9 93.3 38.8 41.1 48.4
2011Q1 99.5 82.0 6.5 100.4 152.4 64.7 84.5 119.5 63.6 18.9 70.9 62.9 72.3 94.5 46.5 42.4 46.2
2011Q2 98.0 81.8 6.2 102.3 154.3 66.1 86.2 121.0 67.1 18.8 71.9 63.8 72.1 106.5 44.9 42.8 45.8
2011Q3 98.6 81.6 6.0 104.5 158.8 66.0 85.4 119.3 66.9 18.5 70.2 64.5 71.6 110.2 44.9 42.2 47.4
2011Q4 98.0 81.2 6.0 108.2 165.3 68.5 86.0 120.1 71.6 18.2 72.0 65.2 72.2 107.8 47.6 43.3 48.6
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Table 11. Trade Openness
Time/GEO Belgium Germany Estonia Ireland Greece Spain France Italy Cyprus Luxem-
bourg Malta Nether-
lands Austria Portugal Slovenia Slovakia Finland 2005Q2 152.7 77.3 158.4 148.3 54.8 57.4 53.4 52.5 98.1 280.0 157.7 127.0 102.4 64.6 119.9 158.2 77.9 2005Q3 152.0 77.1 163.7 153.2 59.5 58.4 52.8 53.0 109.8 287.7 155.6 135.9 102.8 65.5 124.7 150.7 79.0 2005Q4 153.3 81.3 169.5 154.6 53.3 56.0 54.6 50.4 99.9 298.1 163.8 133.0 104.5 64.9 131.0 168.9 81.2 2006Q1 165.2 83.8 152.0 145.7 54.3 59.0 56.3 56.8 94.9 309.0 179.2 137.0 108.7 71.9 136.5 170.8 86.5 2006Q2 158.1 85.0 161.1 150.6 58.1 58.8 55.8 56.3 101.2 311.9 189.4 135.2 106.7 70.1 128.6 170.0 87.6 2006Q3 156.4 84.0 155.8 144.7 61.1 59.6 53.5 56.2 112.4 311.1 187.7 141.8 105.5 71.6 130.4 171.2 85.5 2006Q4 151.8 88.9 153.6 151.8 52.3 58.2 54.8 54.9 90.9 304.2 193.7 137.9 109.6 68.6 139.2 179.3 85.7 2007Q1 162.7 87.3 144.5 146.1 57.1 60.6 55.4 59.5 91.8 316.9 176.5 139.1 114.7 72.6 144.6 178.2 87.8 2007Q2 159.5 87.5 148.9 150.0 58.8 59.8 55.6 58.5 98.7 317.0 198.3 137.0 109.6 71.7 138.4 175.3 88.2 2007Q3 160.9 86.0 141.0 154.1 65.0 63.1 54.5 58.1 117.0 329.0 189.3 144.3 110.2 73.3 138.7 164.6 85.7 2007Q4 161.9 88.6 139.6 155.8 60.8 58.9 55.5 56.0 102.0 315.9 201.6 140.4 113.7 72.0 142.1 181.4 84.6 2008Q1 175.2 90.3 147.5 153.4 61.9 60.6 57.3 60.5 96.7 321.4 187.4 147.0 119.2 78.3 144.5 180.5 92.2 2008Q2 173.3 91.4 143.8 157.6 64.6 60.2 57.5 59.3 99.2 324.8 191.2 143.9 113.6 76.3 139.0 177.0 93.5 2008Q3 173.6 90.3 149.9 154.6 69.0 62.2 56.4 58.8 118.5 334.5 189.8 152.2 110.6 77.6 136.3 160.2 89.9 2008Q4 151.4 87.6 142.6 165.9 54.9 52.7 52.9 52.6 96.0 289.2 189.5 134.6 108.0 67.9 130.7 160.7 84.3 2009Q1 147.7 81.0 121.2 165.1 50.1 47.8 49.0 48.5 86.3 286.4 158.7 130.5 101.3 62.9 116.7 141.8 75.0 2009Q2 138.3 77.4 118.7 168.4 48.7 47.7 47.9 47.2 84.4 284.5 167.0 125.1 93.6 61.8 111.0 138.6 72.2 2009Q3 139.3 77.6 128.2 159.1 53.8 53.1 48.0 48.9 94.1 294.2 181.0 135.4 94.9 65.8 114.1 134.9 69.2 2009Q4 142.3 79.7 126.6 172.4 46.4 50.0 49.1 47.5 84.7 297.6 167.2 132.4 94.8 63.4 119.7 154.8 75.5 2010Q1 155.5 83.0 137.0 171.8 50.0 52.4 51.4 52.2 84.2 296.5 177.8 144.9 103.0 66.9 126.6 154.5 74.0 2010Q2 156.8 89.3 148.1 182.4 49.9 55.5 53.6 55.5 87.7 307.2 189.0 145.5 103.8 69.6 127.4 162.0 78.7 2010Q3 158.1 88.6 154.2 181.3 55.0 59.4 53.6 56.6 92.6 298.6 196.1 154.1 103.8 70.0 129.9 157.6 80.7 2010Q4 158.2 91.4 165.9 197.3 52.4 57.3 54.3 56.3 97.1 293.3 192.7 150.0 103.8 70.2 137.1 180.3 83.4 2011Q1 175.1 93.3 176.3 188.3 53.3 60.4 57.2 59.7 84.1 304.1 191.7 159.0 114.2 74.3 145.9 180.8 81.6 2011Q2 169.5 95.9 181.9 189.4 54.3 59.2 56.8 60.0 89.4 308.4 195.9 153.9 108.8 75.9 141.0 179.4 77.9 2011Q3 168.1 94.9 185.8 184.0 60.7 64.2 55.8 59.7 93.5 304.7 180.7 162.3 109.6 76.7 141.7 160.9 76.6 2011Q4 161.4 96.5 177.5 197.8 53.1 59.6 55.9 56.6 92.0 283.8 196.4 154.1 108.8 72.4 146.0 182.1 78.9
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Table 12. Explainable Variables in EU-17
Nation Austria Belgium Cyprus Estonia Finland
year Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio 2005Q2 0.726058 0.244598 0.134644 0.827247 -1.86169 -0.05096 0.782037 1.657702 0.229832 0.220456 1.011787 0.999683 0.726183 2005Q3 0.966122 2.180454 -0.10173 0.604544 0.471007 -0.25598 0.812357 1.145029 0.146069 0.472749 1.600838 -0.47246 0.874543 2005Q4 0.854163 0.351788 0.08719 0.164562 0.795888 0.501235 0.944757 2.05461 0.092689 0.362275 0.305654 0.164037 0.621219 2006Q1 0.90039 0.849077 -0.12526 0.358918 7.076744 0.303741 0.885157 0.36482 -0.02257 0.698814 -0.11048 0.011413 0.865418 2006Q2 0.573525 0.164212 0.162874 0.254754 1.753689 4.426031 0.839218 2.486042 0.248315 0.279295 1.667901 1.070023 0.627842 2006Q3 0.636429 0.725443 -0.53869 0.460274 1.215503 -0.4208 0.597673 0.317931 0.119076 0.210056 1.163042 1.089922 0.783832 2006Q4 0.913154 0.906721 0.124705 0.200405 0.734009 0.994786 0.883076 1.274561 0.116468 0.541089 0.632653 0.168579 0.747221 2007Q1 0.894771 0.73425 -0.10822 0.307906 0.294939 0.3492 0.761995 0.456661 -0.06999 0.73327 0.264434 -0.02315 0.951855 2007Q2 0.688745 0.159062 0.092326 0.00807 -1.65778 7.486287 0.180481 0.698997 -1.46622 0.667247 4.043819 0.566564 0.598085 2007Q3 0.388811 -0.00822 -0.01627 0.557299 -0.98901 -0.26447 0.648996 0.840723 0.227242 0.201883 -0.68756 -0.76627 0.163378 2007Q4 0.738531 0.212657 0.099756 0.603749 -0.74671 0.137151 0.884507 1.357876 0.108193 0.719055 1.831748 0.242588 0.575871
2008Q1 0.832999 0.567259 -0.13382 0.227249 -11.6535 0.556381 NA NA -0.0807 0.789241 8.92768 0.69649 0.884527
2008Q2 0.893535 0.149933 0.021452 0.862874 -0.84995 0.418475 NA NA 0.405236 0.895299 21.49976 0.841635 0.820663
2008Q3 0.51118 -0.60692 0.67226 0.58523 -5.44133 -0.13252 NA NA 0.074097 0.559736 3.554052 0.908817 0.40262
2008Q4 0.85461 -0.55773 -0.12375 0.832331 -3.23444 -0.25756 NA NA -0.00259 0.923138 -6.394 -0.21456 0.672064
2009Q1 0.97793 -6.50215 0.172356 0.521295 0.298881 -0.71262 NA NA 0.066148 0.920084 -26.3186 0.728955 0.846967
2009Q2 0.617059 0.455356 -0.34641 0.107812 -2.42096 -0.58616 NA NA -0.01564 0.874691 14.04768 0.684191 0.791907
2009Q3 0.4967 -0.58235 -0.72521 0.608408 -0.49484 -0.35578 NA NA -0.9917 0.827909 4.933962 0.310813 0.875574
2009Q4 0.902905 -0.67296 0.098023 0.645376 0.590332 0.066503 NA NA 0.079397 0.635931 2.054074 0.398156 0.846137
2010Q1 0.774257 0.021758 0.008389 0 -5.96022 NA NA NA -0.02546 0.876388 19.08423 0.790613 0
2010Q2 0.838984 1.439295 -0.35441 0.364958 0.608709 2.546026 NA NA 0.115811 0.554136 21.96674 5.277623 0.728392
2010Q3 0.151912 1.718314 12.21698 0.298837 -0.75246 -0.33176 NA NA 1.156708 0.36351 -1.17691 -0.59759 0.763735
2010Q4 0.833232 -0.35227 0.103034 0.459505 -1.73215 0.218965 NA NA 0.072501 0.805027 4.505128 0.355874 0.765744
2011Q1 0.931863 -0.76564 -0.07378 0.2227 -0.5968 1.521931 NA NA 0.017408 0.611253 2.549962 0.473648 0.718089
2011Q2 0.922999 1.147457 0.130905 0.271926 -0.73972 0.413908 NA NA 0.53462 0.987916 362.7763 1.39625 0.638643
2011Q3 0.628967 0.302651 0.244812 0.576203 -0.6509 -0.13834 NA NA 0.151566 0.153543 1.258537 -2.11942 0.435259
‧
Table 13. Explainable Variables in EU-17 (continued)
Nation Finland France Germany Greece Ireland
year Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity 2005Q2 -0.24886 0.085379 0.434185 0.376871 0.605929 0.650358 0.477056 -0.17143 0.7920 0.404774 0.103685 0.324155 1.543243 2005Q3 4.964518 -0.63845 0.978946 -13.6033 -0.35239 0.34265 1.234831 1.580752 0.9155 1.301136 -0.09266 0.349913 -0.29698 2005Q4 -0.21057 0.120222 0.282444 0.313803 0.931013 0.855821 -0.30074 0.036749 0.5208 0.379483 0.275683 0.547115 0.800857 2006Q1 1.092152 -0.14512 0.66738 -0.70906 0.428341 0.588424 0.571789 -0.27189 0.8418 -6.44517 0.981074 0.611129 1.191036 2006Q2 -0.4191 0.216878 0.395341 0.680574 1.248221 0.711203 1.674068 -0.44067 0.8519 0.727029 0.12191 0.297687 0.020274 2006Q3 -7.18988 -1.71362 0.672098 1.051186 -0.60145 0.644049 2.287269 0.825786 0.9791 3.131852 -0.05177 0.298359 0.722848 2006Q4 -0.72765 0.228467 0.365966 0.353895 0.703368 0.990636 25.73654 0.171739 0.6424 0.402809 0.182117 0.648164 -0.62134 2007Q1 -6.50713 -0.27531 0.423632 0.971869 1.509797 0.693732 1.245263 -0.36407 0.7645 2.212166 0.572397 0.649962 3.342074 2007Q2 -0.6664 0.382425 0.555609 0.421391 0.385789 0.583888 0.46907 -0.20952 0.8428 0.49089 0.090582 0.152888 -0.20594 2007Q3 -0.56175 -2.37297 0.549895 0.762796 -0.69501 0.280096 0.41692 0.665204 0.9068 0.748282 -0.06098 0.555969 -1.43464 2007Q4 -0.27578 0.174568 0.352671 0.157583 0.314332 0.823287 0.26684 0.038252 0.5900 0.411033 0.232677 0.829574 -5.55299 2008Q1 -0.58902 -0.05947 0.512586 -1.71525 1.7974 0.549305 0.695143 -0.35948 0.8133 0.959394 0.186579 0.628173 2.649688 2008Q2 -0.4579 0.082214 0.941479 -1.625 -0.11279 0.607854 -0.13264 0.052193 0.8720 0.519006 0.076668 0.195218 -1.45829 2008Q3 -0.09814 -0.11518 0.420027 0.086132 -0.12861 0.121138 -0.16968 -0.73817 0.8329 0.232553 -0.0373 0.853857 -0.45323 2008Q4 0.454673 -0.18844 0.401043 -0.16678 -0.26408 0.728072 -1.0373 -0.24811 0.4248 -0.18101 -0.19518 0.744581 2.370745 2009Q1 -3.215 0.45219 0.228873 0.341978 -1.29925 0.628293 -2.20497 0.783253 0.8277 -0.62074 0.093866 0.588051 -1.65021 2009Q2 -1.75458 -0.38585 0.90705 1.67268 -0.19582 0.196939 -0.78015 1.933691 0.8316 -0.3152 -0.05308 0.998948 -238.088 2009Q3 1.762867 -0.20395 0.723706 0.157125 -0.06625 0.912167 -10.486 0.627782 0.9857 1.037124 0.011641 0.8467 -2.96476 2009Q4 -0.1685 0.027633 0.568395 0.281263 0.237043 0.720641 -0.4141 0.110219 0.9459 -0.86028 0.048498 0.5398 -5.1015
2010Q1 0.591812 NA 0 -0.21654 NA 0 0.796266 NA 0.0000 0.10042 NA 0 -8.23439
2010Q2 -0.96866 -0.29995 0.436416 0.359433 0.523031 0.764355 1.064309 -0.20138 0.8408 0.05806 0.009025 0.157684 -0.38217 2010Q3 1.715161 -0.436 0.585553 0.424937 -0.3242 0.901613 1.248327 0.092965 0.4647 0.400224 0.377974 0.852845 0.201389 2010Q4 -0.74854 0.207433 0.437462 0.145991 0.200481 0.719721 -0.59933 -0.15517 0.8905 1.541865 -0.19355 0.488934 1.125049 2011Q1 0.581755 -0.19355 0.404573 -0.65249 1.063963 0.779086 1.688487 -0.30137 0.8441 0.09112 0.013303 0.873463 -1.29615
2011Q2 -0.65398 0.318669 0.527572 0.378647 0.375697 0.3463 0.49352 -0.57061 0.6820 NA NA 0.23742 0.387215
2011Q3 -0.37351 -0.39149 0.636008 0.511188 -0.3126 0.14413 0.364683 1.304545 0.3115 NA NA 0.835824 0.71808
‧
Table 14. Explainable Variables in EU-17 (continued)
Nation Ireland Italy Luxembourg Malta Netherlands
year Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity 2005Q2 1.029023 0.456472 0.454603 0.469571 0.135369 146.6605 8.934143 0.460711 -4.10312 1.054172 0.69768 0.445878 0.150172 2005Q3 -0.18022 0.877795 -2.00328 -0.23647 0.013161 1.219331 0.88045 0.824626 11.90539 -0.50092 0.627786 0.286556 -0.11417 2005Q4 0.239493 0.865265 0.373265 0.062564 0.207174 1.24167 0.056157 0.36725 -1.198 -0.43184 0.738768 0.454436 0.11689 2006Q1 -0.22566 0.987674 -0.69984 -0.00723 0.03634 0.844143 -0.20943 0.930664 -80.4576 1.192206 0.517314 0.538345 -0.34384 2006Q2 0.014493 0.835804 1.983051 0.3382 0.00793 -0.33132 -0.39077 0.086881 -2.96914 6.502923 0.766827 0.73349 0.16513 2006Q3 0.526398 0.825501 -0.4736 -0.08455 0.012763 0.684379 0.506608 0.351761 3.022153 1.183091 0.810556 0.454661 -0.0702 2006Q4 -0.1168 0.870177 0.329068 0.054984 0.056818 1.467165 0.274914 0.28336 -0.64792 -0.36607 0.505823 0.284482 0.189159 2007Q1 -0.54836 0.927478 -0.22813 -0.01484 0.646676 10.44524 -0.05659 0.515221 -0.42471 0.077926 0.369117 0.44103 -0.47874 2007Q2 -0.3422 0.830217 1.842473 0.322163 0.054764 -3.96273 -0.64374 0.303188 -8.31002 3.820447 0.977901 -10.8698 0.170931 2007Q3 -0.36679 0.537522 -1.1659 -0.85449 0.000709 0.010289 -0.12889 0.232198 1.705704 -1.04311 0.811177 0.978293 -0.14312 2007Q4 0.405004 0.841019 0.08258 0.017359 0.134929 -1.14668 0.081161 0.600509 -1.42293 -0.21183 0.765311 -0.8782 0.185796 2008Q1 0.525416 0.955637 -0.17086 -0.00662 0.004906 1.011077 -2.13646 0.074026 -0.19581 0.511671 0.241714 -0.57909 -1.26881 2008Q2 -2.00398 0.96434 5.919113 0.194653 0.023155 0.132947 0.054511 0.200564 -1.71475 -1.41579 0.568216 0.079014 0.043395 2008Q3 0.026961 0.888211 2.891884 0.310175 0.004607 -0.04818 -0.09836 0.373254 -13.6726 -4.72846 0.687528 -0.14779 -0.04538 2008Q4 -0.31701 0.806675 -0.21734 -0.0545 0.01357 0.174155 -0.1542 0.576585 -5.20971 -0.82981 0.656171 -0.04009 -0.0152 2009Q1 0.370975 0.963523 -2.64136 0.081215 0.005161 2.267984 -5.45294 0.624666 6.269464 0.752676 0.43822 2.329775 2.158364 2009Q2 -0.09321 0.652673 -0.03467 -0.01538 0.057212 1.387313 0.272963 0.389987 -2.0693 0.72015 0.514851 -0.44821 -0.30963 2009Q3 0.182786 0.765261 0.237246 -0.05796 0.007197 -0.73262 1.291495 0.677056 -7.27258 -0.72067 0.980719 -8.32729 -0.11609 2009Q4 -1.50245 0.860039 -0.0272 -0.00442 0.193151 -1.59367 -0.09406 0.403721 -0.82916 -0.2731 0.907823 -1.07444 0.083707
2010Q1 NA 0.931746 -0.68195 -0.03853 0.00266 1.044908 5.432315 0.763392 5.388143 0.344811 0 -2.33075 NA
2010Q2 -0.71082 0.996098 84.41246 0.264877 0.030128 -0.94104 -0.4009 0.63247 -3.39003 0.446827 0.433773 0.731562 0.735154 2010Q3 -0.0169 0.523988 -0.07375 -0.05335 0.035035 -1.86748 0.708027 0.622657 -5.89584 -0.75624 0.97144 -2.42914 -0.04971 2010Q4 -0.66342 0.976462 0.65952 0.016138 0.039647 -0.80245 0.306512 0.514602 -0.56201 -0.12916 0.948104 -3.04935 0.126888 2011Q1 -0.06231 0.917061 -0.45938 -0.03364 0.002528 0.162521 0.978926 0.982468 -67.4689 0.266844 0.608536 -0.3315 -0.15743 2011Q2 0.412152 0.67583 -0.51959 0.210985 0.939363 -37.4385 0.033525 0.127592 -1.74245 2.739307 0.723756 0.118349 0.03514 2011Q3 -0.06606 0.757211 0.017069 0.004488 0.007198 0.359719 0.672333 0.41047 3.395109 -1.05538 0.987706 1.325478 -0.01169
‧
Table 15. Explainable Variables in EU-17 (continued)
Nation Portugal Slovakia Slovenia Spain
year Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity Fiscal Ratio Monetary Elasticity
Gov. Exp.
Elasticity
2005Q2 0.706408 -0.94308 0.179329 NA NA 1.206645 0.436102 0.680653 0.203716 0.737415 0.58405 0.149306
2005Q3 0.115479 -0.01004 -0.03453 NA NA 0.241022 0.840182 -5.01832 -0.21095 0.906126 2.623417 -2.71174
2005Q4 0.778377 0.344343 0.0525 NA NA 0.129384 0.361626 0.666835 0.273214 0.830227 0.610188 0.09627
2006Q1 0.837657 -0.52363 -0.04151 NA NA -0.07641 0.445857 0.722754 -0.18797 0.947863 1.893192 -0.04734
2006Q2 0.870124 -1.32939 0.093138 0.620258 3.370082 0.391877 0.969404 -33.4986 0.248988 0.680337 0.4329 0.155256
2006Q3 0.88253 -2.47812 -0.14696 0.208723 0.639274 -0.41952 0.538942 2.552658 -0.48311 0.552324 0.434947 0.614596
2006Q4 0.668105 0.237507 0.062633 0.473892 0.585735 0.139572 0.496619 1.856205 0.440938 0.791868 0.322953 0.064068
2007Q1 0.757593 -0.62952 -0.08629 0.688679 1.207563 -0.09566 0.545551 -1.68851 -0.30789 0.881425 0.78345 -0.04355
2007Q2 0.631056 0.217425 0.058572 0.351949 0.654968 0.227725 0.729519 2.521029 0.228387 0.752527 0.510599 0.108501
2007Q3 0.300294 0.108688 -0.11008 0.212246 2.20371 -1.49025 0.287999 0.864055 -0.47827 0.739764 0.718319 -4.89709
2007Q4 0.743966 0.451199 0.079635 0.610154 1.286092 0.17814 0.502989 0.825281 0.194758 0.917434 1.087667 0.060903
2008Q1 0.931661 -0.41682 -0.01212 0.499674 -1.09525 -0.21484 0.550613 -2.41794 -0.45149 0.904349 0.574139 -0.02284
2008Q2 0.998118 -23.3045 0.019052 0.753872 -1.43291 0.102819 0.849098 3.028221 0.138822 0.73626 0.164409 0.039222
2008Q3 0.382512 -0.00512 -0.00365 0.28421 0.219963 0.123452 0.273516 0.595941 -0.39027 0.578906 -0.07893 1.229221
2008Q4 0.618641 -0.29341 -0.08848 0.537717 -0.17659 -0.03924 0.54738 -1.43066 -0.31361 0.8485 -0.42275 -0.0478
2009Q1 0.880997 1.526054 0.083645 0.302518 -1.18215 0.578298 0.800138 -6.10602 0.360136 0.879921 -0.76886 0.040805
2009Q2 0.831681 -0.14986 0.013523 0.698919 -0.65197 0.064907 0.801433 1.110357 -0.07422 0.907097 -1.34435 -0.08126
2009Q3 0.762227 -1.25711 0.184778 0.174209 -0.84571 -0.92767 0.82467 -0.25893 0.013777 0.881976 0.625452 0.185981
2009Q4 0.813642 -0.28313 0.035667 0.969208 11.76122 0.102226 0.98389 3.502734 0.015444 0.93933 0.063316 -0.00271
2010Q1 0 -0.43657 NA 0.65307 -0.2265 -0.0282 0.955599 5.411566 0.061349 0.871304 -0.09458 NA
2010Q2 0.740332 0.157845 0.028362 0.636946 3.237006 0.443537 0.728488 -0.88722 0.091171 0.952873 0.875076 -0.01521
2010Q3 0.45192 0.717783 -0.42323 0.974908 -102.994 -0.619 0.752517 0.569674 -0.0485 0.896839 -0.5233 -0.17242
2010Q4 0.893239 -0.28124 -0.02153 0.558568 0.218689 0.04629 0.941076 0.310986 0.005387 0.980878 -2.31292 0.031054
2011Q1 0.847283 -0.00212 -0.00017 0.552646 -0.25673 -0.04795 0.348719 -0.43004 -0.21922 0.932955 -0.65782 -0.01914
2011Q2 0.896953 -2.33631 -0.13096 0.497543 1.27408 0.30965 0.844429 0.345783 0.018189 0.865575 -0.47998 0.065509
2011Q3 0.667938 -0.42064 -0.10057 0.706908 1.37166 -0.12521 0.622149 0.167329 -0.02632 0.697185 -0.06935 -0.08856
‧
The Model from the Sight of Saving and Current Account
Under the initial framework in section 3.3.3 and substituting 𝐵𝑆− 𝐺𝑜 and
(𝐶𝐴 − (𝐹 + 𝑇𝑅)) for (𝐺𝑐 − 𝑇) and (𝑋 − 𝑀(𝑌)) respectively, the saving equation will become
𝑆(𝑌, 𝑟) = 𝐼(𝑟) + (𝐵𝑆− 𝐺𝑜) + (𝐶𝐴 − (𝐹 + 𝑇𝑅)) (5a) After taking a total differential in the equation (5a) and (2), the equations will become
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= ((𝜌∗𝑅−𝜌0)𝑓(𝜌∗)
𝑓∙𝐹(𝜌∗) −[(𝜌∗−𝜌0)𝐹(𝜌∗)−∫ 𝐹(𝜌)𝑑𝜌]0𝜌∗
𝑅𝑓2 ) ∙ ((𝑆𝑦−𝐶𝐴𝑦)𝑑𝑚𝑆−𝐿𝑦[(𝑑𝐵𝑆−𝑑𝐺𝑜)−(𝑑𝐹+𝑑𝑇𝑅)]
(𝐼𝑟−𝑆𝑟)𝑑𝑚𝑆+𝐿𝑟[(𝑑𝐵𝑆−𝑑𝐺𝑜)−(𝑑𝐹+𝑑𝑇𝑅)] ) (11a) Therefore, 𝑑𝑘𝑑𝑌 can be measured by ℎ′(ca).
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