| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12541 |
| 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 |
| URL | https://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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