Commodity price shocks and the odds on fiscal performance
Subtitle: a structural VAR approach
By: prepared by Francis Y. Kumah and John M. Matovu.
Contributors: Matovu, John.; International Monetary Fund. Middle East and Central Asia Dept.
Series: IMF working paper -- WP/05/171
Publisher: International Monetary Fund, Middle East and Central Asia Dept.
Published: 2005
Place of publication: Washington, D.C
Language: eng
Number of pages: 34
Subjects: Prices -- Former Soviet republics -- Econometric models.; Commodity exchanges -- Former Soviet republics -- Econometric models.; Fiscal policy -- Former Soviet republics -- Econometric models.; Taxation -- Former Soviet republics -- Econometric models.; Autoregression (Statistics)
Description: Unanticipated changes in commodity prices can generate significant movements in fiscal aggregates. This paper seeks to understand the dynamics of these fiscal movements in the context of transitory commodity price shocks using sample data from four CIS countries- two oil-producing and two non-oil commodity-intensive countries. It adopts a structural VAR approach and identifies the dynamic effects of commodity price shocks on fiscal performance under two broad tax regimes. Stochastic simulations indicate high probabilities of fiscal overperformance in the short term when commodity prices are high. These probabilities deteriorate significantly, however, in the long term after the transitory positive commodity price shock has dissipated, particularly when lax fiscal policy is adopted during the period of the price boom.
Notes: "August 2005."

Includes bibliographical references (p. 29-30).

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