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Stock market response to monetary and fiscal policy shocks: Multi-country evidence
Chatziantoniou, Ioannis; Duffy, David; Filis, George - In: Economic Modelling 30 (2013) C, pp. 754-769
A Structural VAR model is employed to investigate the effects of monetary and fiscal policy shocks on stock market performance in Germany, UK and the US. A significant number of past studies have concentrated their attention on the relationship between monetary policy and stock market...
Persistent link: https://www.econbiz.de/10010608293
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The effects of fiscal spending shocks on the performance of simple monetary policy rules
Malik, Ali K. - In: Economic Modelling 30 (2013) C, pp. 643-662
We examine the effects of fiscal shocks on the performance of alternative monetary policy rules in a small dynamic general equilibrium framework. We explicitly consider the interaction between fiscal and monetary policy rules which may be present in the real world. We use a simple specification...
Persistent link: https://www.econbiz.de/10010608303
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Joint determinants of fiscal policy, income inequality and economic growth
Muinelo-Gallo, Leonel; Roca-Sagalés, Oriol - In: Economic Modelling 30 (2013) C, pp. 814-824
This paper analyses the relationship between income inequality and economic growth through fiscal policy. To this end, we present and estimate two systems of structural equations with error components through which gross income inequality determines different fiscal policy outcomes, which...
Persistent link: https://www.econbiz.de/10010608309
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Is fiscal policy stationary in China? A regional study by local government
Liu, Tie-Ying; Su, Chi-Wei; Jiang, Xu-Zhao - In: Economic Modelling 37 (2014) C, pp. 492-499
In this study, we apply a stationarity test with a flexible Fourier function proposed by Enders and Lee (2012) to test the stationarity of the deficit–GDP ratio in China. We find that our approximation has a higher power to detect U-shaped breaks and to smooth breaks than the linear method if...
Persistent link: https://www.econbiz.de/10010744023
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Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices
Agnello, Luca; Dufrénot, Gilles; Sousa, Ricardo M. - In: Economic Modelling 34 (2013) C, pp. 25-36
This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability Markovian processes (TVPMS), we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes...
Persistent link: https://www.econbiz.de/10010709341
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The macroeconomic effects of fiscal policy in a stochastically growing economy
Tamai, Toshiki - In: Economic Modelling 35 (2013) C, pp. 464-471
deterministic economy according to the elasticity of substitution. …
Persistent link: https://www.econbiz.de/10010719361
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Macroeconomic effects of fiscal policy changes: A case of South Africa
Akanbi, Olusegun Ayodele - In: Economic Modelling 35 (2013) C, pp. 771-785
This study develops comprehensive full-sector macro-econometric models for the South African economy with the aim of …-side constraints and also to detect which components of the fiscal would be more effective in stabilising the economy. Based on the … structure of the South African economy and the framework presented, the study concludes that the South African economy can be …
Persistent link: https://www.econbiz.de/10010719385
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Debt, interest rates, and integration of financial markets
Claeys, Peter; Moreno, Rosina; Suriñach, Jordi - In: Economic Modelling 29 (2012) 1, pp. 48-59
It is commonly believed that higher budget deficits raise interest rates. However, these crowding out effects of increasing public debt have usually been found to be small or non-existent. One explanation is that on globalised bond markets interest rate differentials are offset due to financial...
Persistent link: https://www.econbiz.de/10011048781
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Assessing the impact of fiscal measures on the Czech economy
Ambriško, Róbert; Babecký, Jan; Ryšánek, Jakub; … - In: Economic Modelling 44 (2015) C, pp. 350-357
We build a DSGE model to investigate the transmission of fiscal policy to the real economy in the Czech Republic …
Persistent link: https://www.econbiz.de/10011116952
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Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain
Agnello, Luca; Dufrénot, Gilles; Sousa, Ricardo M. - In: Economic Modelling 44 (2015) C, pp. 358-362
We test for nonlinear effects of asset prices on the fiscal policy of three major European economies (the UK, Italy and Spain). We model primary government spending and government revenue as time-varying transition probability Markovian processes (TVPMS). We find that while in Italy fiscal...
Persistent link: https://www.econbiz.de/10011116984