Effects of Fiscal Shocks in a Globalized World

被引:30
作者
Auerbach, Alan J. [1 ,2 ]
Gorodnichenko, Yuriy [3 ,4 ]
机构
[1] Univ Calif Berkeley, Econ & Law, Berkeley, CA 94720 USA
[2] Univ Calif Berkeley, Burch Ctr Tax Policy & Publ Finance, Berkeley, CA 94720 USA
[3] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA
[4] NBER, Cambridge, MA 02138 USA
关键词
REAL EXCHANGE-RATE; GOVERNMENT; POLICY;
D O I
10.1057/imfer.2015.15
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Although theoretical models consistently predict that government spending shocks should lead to appreciation of the domestic currency, empirical studies have regularly found depreciation. Using daily data on U.S. defense spending (announced and actual payments), the paper documents that the dollar immediately and strongly appreciates after announcements about future government spending. In contrast, actual payments lead to no discernible effect on the exchange rate. It examines the responses of other variables at the daily frequency and explores how the response of the exchange rate to fiscal shocks varies over the business cycle as well as at the zero lower bound and in normal times.
引用
收藏
页码:177 / 215
页数:39
相关论文
共 30 条
[1]   Micro effects of macro announcements: Real-time price discovery in foreign exchange [J].
Andersen, TG ;
Bollerslev, T ;
Diebold, FX ;
Vega, C .
AMERICAN ECONOMIC REVIEW, 2003, 93 (01) :38-62
[2]  
Auerbach AJ., 2013, FISCAL POLICY FINANC, P63, DOI [10.7208/chicago/9780226018584.003.0003, DOI 10.7208/CHICAGO/9780226018584.003.0003]
[3]   Output Spillovers from Fiscal Policy [J].
Auerbach, Alan J. ;
Gorodnichenko, Yuriy .
AMERICAN ECONOMIC REVIEW, 2013, 103 (03) :141-146
[4]   Measuring the Output Responses to Fiscal Policy [J].
Auerbach, Alan J. ;
Gorodnichenko, Yuriy .
AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY, 2012, 4 (02) :1-27
[5]  
Bénétrix AS, 2013, INT J CENT BANK, V9, P1
[6]   An empirical characterization of the dynamic effects of changes in government spending and taxes on output [J].
Blanchard, O ;
Perotti, R .
QUARTERLY JOURNAL OF ECONOMICS, 2002, 117 (04) :1329-1368
[7]   Exchange rate regimes and fiscal multipliers [J].
Born, Benjamin ;
Juessen, Falko ;
Mueller, Gernot J. .
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2013, 37 (02) :446-465
[8]  
Chodorow-Reich G, 2014, BROOKINGS PAP ECO AC, P155
[9]  
Corsetti Giancarlo, 2009, IMF WORKING PAPERS, V09
[10]   Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing [J].
De Livera, Alysha M. ;
Hyndman, Rob J. ;
Snyder, Ralph D. .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2011, 106 (496) :1513-1527