Publicação
The macroeconomic effects of fiscal policy
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Sousa, Ricardo M. | |
| dc.date.accessioned | 2010-06-23T09:43:00Z | |
| dc.date.available | 2010-06-23T09:43:00Z | |
| dc.date.issued | 2009-01 | |
| dc.description.abstract | We investigate the macroeconomic effects of fiscal policy using a Bayesian Structural Vector Autoregression approach. We build on a recursive identification scheme, but we: (i) include the feedback from government debt (ii); look at the impact on the composition of output; (iii) assess the effects on asset markets (via housing and stock prices); (iv) add the exchange rate; (v) assess potential interactions between fiscal and monetary policy; (vi) use quarterly data, particularly, fiscal data; and (vii) analyze empirical evidence from the U.S., the U.K., Germany, and Italy. The results show that government spending shocks, in general, have a small effect on GDP; lead to important "crowding-out" effects; have a varied impact on housing prices and generate a quick fall in stock prices; and lead to a depreciation of the real effective exchange rate. Government revenue shocks generate a small and positive effect on both housing prices and stock prices that later mean reverts; and lead to an appreciation of the real effective exchange rate. The empirical evidence also shows that it is important to explicitly consider the government debt dynamics in the model. | pt |
| dc.identifier.citation | Afonso, António e Ricardo M. Sousa. 2009. "The macroeconomic effects of fiscal policy". European Central Bank working paper series nº 991-2009 | pt |
| dc.identifier.uri | http://hdl.handle.net/10400.5/2156 | |
| dc.language.iso | eng | pt |
| dc.publisher | European Central Bank | pt |
| dc.relation.ispartofseries | European Central Bank working paper series;nº 991-2009 | |
| dc.relation.publisherversion | http://www.ecb.int/pub/pdf/scpwps/ecbwp991.pdf | pt |
| dc.subject | fiscal policy | pt |
| dc.subject | Bayesian Structural VAR | pt |
| dc.subject | debt dynamics | pt |
| dc.title | The macroeconomic effects of fiscal policy | pt |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt |
| rcaap.type | workingPaper | pt |