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|Título:||The macroeconomic effects of fiscal policy|
Sousa, Ricardo M.
Bayesian Structural VAR
|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.|
|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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