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What are the effects of fiscal policy on asset markets?
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Autores
Orientador(es)
Resumo(s)
We investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks
have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such
impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and
mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in
the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock
prices in the U.K., while government revenue shocks have increased volatility in Italy.
Descrição
Palavras-chave
Fiscal Policy Housing Prices Stock Prices
Contexto Educativo
Citação
Afonso, António and Ricardo M. Sousa. (2011). "What are the effects of fiscal policy on asset markets?". Economic Modelling, Vol. 28, No.4: pp. 1871-1890.
Editora
Elsevier