What are the effects of fiscal policy on asset markets?

被引：75

作者：

Afonso, Antonio ^{[1
,2
,3
]}

Sousa, Ricardo M. ^{[4
,5
,6
]}

机构：

[1] European Cent Bank, Directorate Gen Econ, Fiscal Policies Div, D-60311 Frankfurt, Germany

[2] Univ Tecn Lisboa, ISEG TULisbon, Dept Econ, P-1249078 Lisbon, Portugal

[3] UECE, Res Unit Complex & Econ, P-1249078 Lisbon, Portugal

[4] Univ Minho, Dept Econ, P-4710057 Braga, Portugal

[5] Econ Policies Res Unit NIPE, P-4710057 Braga, Portugal

[6] London Sch Econ, Financial Markets Grp, London WC2 2AE, England

来源：

ECONOMIC MODELLING | 2011年 / 28卷 / 04期

关键词：

Fiscal policy; Housing prices; Stock prices; MONETARY-POLICY; FINANCIAL-MARKETS; OPEN ECONOMIES; HOUSE PRICES; BEHAVIOR; OUTPUT; INFLATION;

D O I：

10.1016/j.econmod.2011.03.018

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1871 / 1890

页数：20

共 42 条

[1]

Afonso A., 2009, 991 ECB

[2] The dynamic behaviour of budget components and output [J].

Afonso, Antonio ;

Claeys, Peter .

ECONOMIC MODELLING, 2008, 25 (01) :93-117

[3]

Agnello L., 2010, SEVERITY EC DO UNPUB

[4] FISCAL POLICY AND FINANCIAL MARKETS [J].

Akitoby, Bernardin ;

Stratmann, Thomas .

ECONOMIC JOURNAL, 2008, 118 (533) :1971-1985

[5]

[Anonymous], 1071 ECB

[6] House prices, consumption, and monetary policy: a financial accelerator approach [J].

Aoki, K ;

Proudman, J ;

Vlieghe, G .

JOURNAL OF FINANCIAL INTERMEDIATION, 2004, 13 (04) :414-435

[7] Financial markets' behavior around episodes of large changes in the fiscal stance [J].

Ardagna, Silvia .

EUROPEAN ECONOMIC REVIEW, 2009, 53 (01) :37-55

[8] The effects of tax policy on financial markets: G3 evidence [J].

Arin, K. Peren ;

Mamun, Abdullah ;

Purushothman, Nanda .

REVIEW OF FINANCIAL ECONOMICS, 2009, 18 (01) :33-46

[9] Fiscal policy, fairness between generations, and national saving [J].

Barrell, Ray ;

Weale, Martin .

OXFORD REVIEW OF ECONOMIC POLICY, 2010, 26 (01) :87-116

[10] ARE GOVERNMENT BONDS NET WEALTH [J].

BARRO, RJ .

JOURNAL OF POLITICAL ECONOMY, 1974, 82 (06) :1095-1117

← 1 2 3 4 5 →