| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15894 |
| DP15894 The Transmission Channels of Government Spending Uncertainty | |
| Beliansk Anna; Aurélien Eyquem; Céline Poilly | |
| 发表日期 | 2021-03-07 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Higher uncertainty about government spending generates a persistent decline in the economic activity in the Euro Area. This paper emphasizes the transmission channels explaining this empirical fact. First, a Stochastic Volatility model is estimated on European government consumption to build a measure of government spending uncertainty. Plugging this measure into a SVAR model, we stress that government spending uncertainty shocks have recessionary, persistent and humped-shaped effects. Second, we develop a New Keynesian model with financial frictions applying to a portfolio of equity and long-term government bonds. We argue that a portfolio effect -- resulting from the imperfect substitutability among both assets -- acts as a critical amplifier of the usual transmission channels. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Government spending uncertainty stochastic volatility Portfolio adjustment cost |
| URL | https://cepr.org/publications/dp15894 |
| 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/544885 |
| 推荐引用方式 GB/T 7714 | Beliansk Anna,Aurélien Eyquem,Céline Poilly. DP15894 The Transmission Channels of Government Spending Uncertainty. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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