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This paper empirically investigates the short- and long-term impact of public expenditure on economic growth. We use annual data from 28 European Union (EU) countries for the 1995-2022 period and estimate a growth model augmented for public expenditure employing the Autoregressive Distributed Lag (ARDL) panel data approach. Our results support the view that different categories of public expenditures have dissimilar long- and short-term effects on the economic performance of EU countries.

This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock market volatility at different maturities during the period from 3 January 2011 to 4 May 2018. To this end, we first perform static analysis to measure the total volatility connectedness in the entire period using a framework proposed by Diebold and Yilmaz (J Econ 182: 119–134, 2014). Second, we apply a dynamic analysis to evaluate both the net directional connectedness for each market using the TVP-VAR connectedness approach developed by Antonakakis and Gabauer (Refined measures of dynamic connectedness based on TVP-VAR. MPRA, Working Paper No. 78282, 2017). Our results suggest that 72.27% of the total variance of the forecast errors is explained by shocks across the examined maturities, indicating that the remainder 27.73% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. Our results are robust to control by macroeconomic and uncertainty factors, and persistent across US and European implied volatility indices.

This study explores the causal links between public debt and inflation. To that end, we employ the novel homogeneous approach to test for Granger noncausality in heterogeneous panels in a sample of 121 countries from 1995 to 2022. This methodological approach is particularly appropriate for datasets characterized by highly persistent processes, a moderate temporal scope, and the presence of heterogeneous nuisance parameters. Our results suggest that, despite a unidirectional Granger causality relationship being detected from public debt to inflation in some cases, bidirectional Granger causality was identified for most countries under study when examining the pairwise relationship. However, when controlling for the explanatory variables consistently identified as conditioning the inflation–debt nexus, we found evidence of bidirectional Granger causality between public debt and inflation in all cases (with the only exception of advanced economies according to the International Monetary Fund and the group of countries with greater independence from the central bank that show a unidirectional Granger causality relationship from debt to inflation).

Faced with the need to adjust public pension systems to meet changing demographic, economic and social conditions, most developed countries have created government reserve funds to ensure macroeconomic sustainability. This paper aims to study the importance that this reserve fund plays in the sustainability of the Spanish public pension system. Using data for the 2000 to 2019 period (20 observations) on the main variables impacting on the system, we calculate probabilities and other indicators of its unsustainability in relation to the reserve fund. Our model accurately reflects certain aspects of the data, and suggests that the probability of unsustainability is inversely associated with the size of the reserve fund, but that this relation is moderated by the heterogeneity of the members of the pension system. Moreover, the probability of unsustainability increases in line with the pension system deficit, the time elapsed until unsustainability is reached is shorter when the Reserve Fund balance falls, and the size of this fund at which the system becomes unsustainable diminishes with the probability of unsustainability.

New empirical evidence is presented on the impact of public debt on economic growth. To that end, we employ the Autoregressive Distributed Lag (ARDL) bounds testing approach using annual data from both central and peripheral countries of the European Economic and Monetary Union (EMU) for the 1961 -2015 period. In particular, we allow for different endogenously (da- ta-based) regimes in the parameter relating the public debt variable to the real growth rate. Our results suggest that the impact of public debt on economic growth not only changes across EMU countries, but also over time

This paper empirically investigates the short and the long run impact of public debt on economic growth. We use annual data from both the central and the peripheral countries of the euro area (EA) for the 1961–2013 period and estimate a production function augmented with a debt stock term by applying the Autoregressive Distributed Lag (ARDL) bounds testing approach. Our results suggest different patterns across the EA countries and tend to support the view that public debt always has a negative impact on the long-run performance of EA member states, whilst its short-run effect may be positive depending on the country.

Fiscal sustainability remains a paramount challenge in the Euro Area (EA) countries after the sharp rise in public debt-to-GDP ratios in the aftermath of the financial crisis of 2008. Using data from 11 EA countries over the period 1980–2019, we apply panel data techniques to examine the effects of population aging on fiscal sustainability, controlling for key macroeconomic variables. Our results suggest that the discretionary fiscal policy is strongly persistent, not being consistent with long-term fiscal solvency. Moreover, our results indicate that the fiscal stance is countercyclical for the countries under study and that population aging poses a major challenge for fiscal sustainability. The findings are robust to a different grouping of countries within the sample (core and peripheral countries, relatively old and young countries, and relatively more and less indebted countries). We consider that our results may have some practical meaning for national policymakers and international organizations responsible for regional and global fiscal surveillance and might shed some light on the possible effects that population aging could have on the effort of EA countries to restore public finances on a sustainable basis.

Using data from 37 OECD countries during the 1980–2020 period, this paper seeks to quantify the potential role and impacts of pension expenditures for reducing old-age poverty (66–75 and 76-and-over age groups). To that end, we applied panel data techniques controlling for key macroeconomic and demographic variables. Our results suggest that pension expenditure shows a linear and nonlinear impact on old-age poverty rates. The estimated elasticities increase (in absolute value) with the ratio of public pension expenditure to GDP, being higher (in absolute value) for the 76-and-over than for the 66–75 age group, suggesting a larger impact of pension expenditure on poverty for the oldest population group. When evaluating how each explanatory variable explains the poverty rates, we found that the macroeconomic situation is the main driver of its reduction, followed by public pension expenditure. Applying the panel dynamic threshold model, we also endogenously identified a common threshold of 7.21 in the ratio of public pension expenditures to GDP in the relationship between this variable and the poverty rate of both age groups. These results hold across various sensitivity analyses testing for structural breaks and heterogeneous relationships in the baseline empirical model and for the possibility of multiple thresholds in the threshold model. Our findings have significant implications for policymakers and researchers interested in social welfare and economic policy, providing evidence supporting the role of pension expenditures in reducing poverty among the elderly.

Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of forecast errors was explained by shocks across the six financial market stress indices examined, indicating that the remaining 84.33% of variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during periods of increasing economic and financial instability, mainly driven by high levels of pandemic and economy policy uncertainty and real economy worsening. Financial intermediaries were the main generators of stress during three out of four recent major financial crises in Spain, while their role as stress transmitters to other markets has been reduced since the onset of the COVID-19 health crisis. Our results also indicate that the COVID-19 outbreak represents a relevant event in the transmission of stress among all market segments.