Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/2156
Título: The macroeconomic effects of fiscal policy
Autor: Afonso, António
Sousa, Ricardo M.
Palavras-chave: fiscal policy
Bayesian Structural VAR
debt dynamics
Data: Jan-2009
Editora: European Central Bank
Citação: Afonso, António e Ricardo M. Sousa. 2009. "The macroeconomic effects of fiscal policy". European Central Bank working paper series nº 991-2009
Relatório da Série N.º: European Central Bank working paper series;nº 991-2009
Resumo: 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.
URI: http://hdl.handle.net/10400.5/2156
Versão do Editor: http://www.ecb.int/pub/pdf/scpwps/ecbwp991.pdf
Aparece nas colecções:DE - Documentos de trabalho / Working Papers

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