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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2506

Title: Fiscal Policy, Housing and Stock Prices
Authors: Afonso, António
Sousa, Ricardo M.
Keywords: Bayesian Structural VAR
fiscal policy
housing prices
stock prices
Issue Date: 2008
Publisher: ISEG – Departamento de Economia
Citation: Afonso, António e Ricardo M. Sousa. 2008. "Fiscal Policy, Housing and Stock Prices". Instituto Superior de Economia e Gestão - DE Working papers nº 58-2008/DE/UECE
Series/Report no.: DE Working papers;nº 58-2008/DE/UECE
Abstract: This paper investigates the link between fiscal policy shocks and movements in asset markets using a Fully Simultaneous System approach in a Bayesian framework. Building on the works of Blanchard and Perotti (2002), Leeper and Zha (2003), and Sims and Zha (1999, 2006), the empirical evidence for the U.S., the U.K., Germany, and Italy shows that it is important to explicitly consider the government debt dynamics when assessing the macroeconomic effects of fiscal policy and its impact on asset markets. In addition, the results from a VAR counter-factual exercise suggest that: (i) fiscal policy shocks play a minor role in the asset markets of the U.S. and Germany; (ii) they substantially increase the variability of housing and stock prices in the U.K..; and (iii) government revenue shocks have apparently contributed to an increase of volatility in Italy.
URI: http://hdl.handle.net/10400.5/2506
ISSN: 0874-4548
Publisher version: https://aquila1.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=29845
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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