| 000 | 02267nab a2200289 c 4500 | ||
|---|---|---|---|
| 999 |
_c142315 _d142315 |
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| 003 | ES-MaIEF | ||
| 005 | 20200807124519.0 | ||
| 007 | ta | ||
| 008 | 200807t2020 us ||||| |||| 00| 0|eng d | ||
| 040 |
_aES-MaIEF _bspa _cES-MaIEF |
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| 041 | _aeng | ||
| 245 | 4 |
_aThe time-series linkages between US fiscal policy and asset prices _c Ghassen El Montasser, Rangan Gupta, Jooste Charl and Stephen M. Miller |
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| 260 | _c2020 | ||
| 500 | _aDisponible en formato electrónico. | ||
| 500 | _aResumen. | ||
| 504 | _aBibliografía. | ||
| 520 | _aThis article studies the interplay of fiscal policy and asset price returns of the United States in a time-varying parameter vector autoregressive (VAR) model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy on asset returns and asset returns on fiscal policy. Distinguishing between low-volatility (bull market) and high-volatility (bear market) regimes together with a time-varying parameter VAR model enables us to isolate the different sizes and signs of responses to shocks during different time periods. The results indicate that increases in the primary surplus-to-gross-domestic-product ratio decrease house returns over the entire sample and at each impulse horizon. Unlike the house return responses, stock returns only decrease in the first year after the fiscal shock but then increase for the following eight years. Furthermore, the findings show that asset return movements affect fiscal policy, whereby fiscal policy responds more to equity returns than to house returns. The response of fiscal policy to asset returns proves relatively stable and constant over time while controlling for various asset return regimes. Asset returns respond uniformly to fiscal policy shocks since the 1900s. | ||
| 650 | 4 |
_948067 _aPOLITICA FISCAL |
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| 650 | 4 |
_934579 _aCICLOS ECONOMICOS |
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| 650 | 4 |
_91174 _aACTIVO |
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| 650 | 4 |
_950214 _aACTIVOS FINANCIEROS |
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| 650 | 4 |
_925832 _aANALISIS DE SERIES TEMPORALES |
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| 700 | 1 |
_968102 _aEl Montasser, Ghassen |
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| 773 | 0 |
_9162373 _oOP 581/2020/3 _tPublic Finance Review _w(IEF)21382 _x 0048-5853 _gv. 48, n. 3, May 2020, p. 303-339 |
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| 856 | _uhttps://journals.sagepub.com/doi/full/10.1177/1091142120916032 | ||
| 942 | _cART | ||