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The macroeconomic effects of fiscal policy
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Autores
Orientador(es)
Resumo(s)
We investigate the macroeconomic effects of fiscal policy using a Bayesian
Structural Vector Autoregression (B-SVAR) approach. We identify fiscal
policy shocks via a partial identification scheme, but also: (i) include the
feedback from government debt; (ii) look at the impact on the composition
of output; (iii) assess the effects on asset markets; (iv) use quarterly data;
and (v) analyse empirical evidence from the US, the UK, Germany and
Italy. The results show that government spending shocks, in general, have
a small effect on Gross Domestic Product (GDP); lead to important
‘crowding-out’ effects; have a varied impact on housing prices and generate
a quick fall in stock prices. Government revenue shocks generate a mixed
effect on housing prices and a small and positive effect on stock prices.
The empirical evidence also suggests that it is important to explicitly
consider the government debt dynamics in the model.
Descrição
Palavras-chave
Fiscal Policy Bayesian Structural VAR
Contexto Educativo
Citação
Afonso, António and Ricardo M. Sousa. (2012). "The macroeconomic effects of fiscal policy" .Applied Economics, Vol. 44, No. 34: pp. 4439-4454.
Editora
Taylor & Francis Group