G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12541
DP12541 The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach
Evi Pappa
发表日期2017-12-24
出版年2017
语种英语
摘要We analyze the joint effects of monetary and fiscal policy shocks in the U.S. economy using a factor augmented vector autoregressive model with drifting coefficients and stochastic volatility. The time varying structure of the model allows us to assess whether the transmission of monetary policy shocks differ when combined with exogenous expansionary and contractionary fiscal shocks, identified with the narrative approach. Government spending and temporary fiscal transfers weaken the effects of monetary policy shocks; permanent transfers are less effective to counteract the demand effects of monetary policy changes; while tax shocks do not alter the propagation of monetary policy shocks.
主题Monetary Economics and Fluctuations
关键词Tvp-favar Monetary policy shocks Fiscal policy shocks Narrative evidence
URLhttps://cepr.org/publications/dp12541
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/541352
推荐引用方式
GB/T 7714
Evi Pappa. DP12541 The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach. 2017.
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