What are the effects of fiscal policy on asset markets?

Economic Modelling

Volumn 28, Issue 4, 2011, Pages 1871-1890

  Afonso, António ^a,b   Sousa, Ricardo M ^c,d  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF LISBON   (Portugal)

^c UNIVERSITY OF MINHO   (Portugal)

^d LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Fiscal policy; Housing prices; Stock prices

Indexed keywords

EID: 79956207125     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2011.03.018     Document Type: Article

References (42)

1. Afonso A., Claeys P. The dynamic behaviour of budget components and output. Economic Modelling 2008, 25:93-117.
2. Afonso A., Sousa R.M. The macroeconomic effects of fiscal policy. ECB Working Paper 2009, No. 991.
3. Agnello, L., Nerlich, C., 2010. On the severity of economic downturns: lessons from cross-country evidence, European Central Bank, mimeo.
4. Agnello L., Schuknecht L. Booms and busts in housing markets: determinants and implications. ECB Working Paper 2009, No. 1071.
5. Akitoby B., Stratmann T. Fiscal policy and financial markets. The Economic Journal 2008, 118:1971-1985.
6. Aoki K., Proudman J., Vlieghe G. House prices, consumption, and monetary policy: a financial accelerator approach. Journal of Financial Intermediation 2004, 13:414-435.
7. Ardagna S. Financial markets' behavior around episodes of large changes in the fiscal stance. European Economic Review 2009, 53:37-55.
8. Arin K.P., Mamun A., Purushothman N. The effects of tax policy on financial markets: G3 evidence. Review of Financial Economics 2009, 18:33-46.
9. Barrell R., Weale M. Fiscal policy, fairness between generations, and national saving. Oxford Review of Economic Policy 2010, 26:87-116.
10. Barro R.J. Are government bonds net wealth?. Journal of Political Economy 1974, 82:1095-1117.
11. Bernanke B., Kuttner K. What explains the stock market's reaction to Federal Reserve policy?. Journal of Finance 2005, 60:1221-1257.
12. Blanchard O., Perotti R. An empirical characterization of the dynamic effects of changes in government spending and taxes on output. Quarterly Journal of Economics 2002, 117:1329-1368.
13. Brook A.-M. Recent and prospective trends in real long-term interest rates: fiscal policy and other drivers. OECD Working Paper 2003, No. 21.
14. Castro V. The duration of economic expansions and recessions: more than duration dependence. Journal of Macroeconomics 2010, 32:347-365.
15. Castro, V., forthcoming. Can central banks' monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule? Journal of Financial Stability.
16. Darrat A.F. On fiscal policy and the stock market. Journal of Money, Credit and Banking 1988, 20:353-363.
17. Fatás A., Mihov I. The effects of fiscal policy on consumption and employment: theory and evidence. CEPR Discussion Paper 2001, 2760.
18. Favero C., Giavazzi F. Debt and the effects of fiscal policy. University of Bocconi, IGIER Working Paper 2007, No. 317.
19. Gale W.G., Orszag P.R. Economic effects of sustained budget deficits. National Tax Journal 2003, 56:463-485.
20. Giordano R., Momigliano S., Neri S., Perotti R. The effects of fiscal policy in Italy: evidence from a VAR model. European Journal of Political Economy 2007, 23:707-733.
21. Granville B., Mallick S.K. Monetary policy in Russia: identifying exchange rate shocks. Economic Modelling 2009, 27:432-444.
22. Granville B., Mallick S.K. Monetary and financial stability in the euro area: pro-cyclicality versus trade-off. Journal of International Financial Markets, Institutions and Money 2009, 19:662-674.
23. Heppke-Falk K.H., Tenhofen J., Wolff G.B. The macroeconomic effects of exogenous fiscal policy shocks in Germany: a disaggregated SVAR analysis. Deutsche Bundesbank, Discussion Paper 2006, N°. 41.
24. Iacoviello M. House prices, borrowing constraints, and monetary policy in the business cycle. American Economic Review 2005, 95:739-764.
25. Jappelli T., Pistaferri L. Do people respond to tax incentives? An analysis of the Italian reform of the deductibility of home mortgage interests. European Economic Review 2007, 51:247-271.
26. Kormendi R.C. Government debt, government spending, and private sector behavior. American Economic Review 1983, 73:994-1010.
27. Laubach T. New evidence on the interest rate effects of budget deficits and debt. Journal of the European Economic Association 2009, 7:1-28.
28. MacLennan D., Muelbauer J., Stephens M. Asymmetries in housing and financial market institutions and EMU. CEPR Discussion Paper 1999, No. 2062.
29. Mallick S.K., Mohsin M. Monetary policy in high inflation open economies: evidence from Israel and Turkey. International Journal of Finance and Economics 2007, 12:405-415.
30. Mallick S.K., Mohsin M. On the real effects of inflation in open economies: theory and empirics. Empirical Economics 2010, 39:643-673.
31. Mountford A., Uhlig H. What are the effects of fiscal policy shocks?. Journal of Applied Econometrics 2009, 24:960-992.
32. Perotti R. Estimating the effects of fiscal policy in OECD countries. Bocconi University, IGIER Working Paper 2004, No. 276.
33. Rafiq M.S., Mallick S.K. The effect of monetary policy on output in EMU3: a sign restriction approach. Journal of Macroeconomics 2008, 30:1756-1791.
34. Ramey V., Shapiro M. Costly capital reallocation and the effects of government spending. Carnegie Rochester Conference on Public Policy 1998, 48:145-194.
35. Rotemberg J., Woodford M. Oligopolistic pricing and the effects of aggregate demand on economic activity. Journal of Political Economy 1992, 100:1153-1297.
36. Schuknecht L., von Hagen J., Wolswijk G. Government risk premiums in the bond market: EMU and Canada. European Journal of Political Economy 2009, 25:371-384.
37. Sims C., Zha T. Error bands for impulse-responses. Econometrica 1999, 67:1113-1155.
38. Sousa R.M. Housing wealth, financial wealth, money demand and policy rule: evidence from the Euro area. The North American Journal of Economics and Finance 2010, 21:88-105.
39. Sousa R.M. Consumption, (dis)aggregate wealth, and asset returns. Journal of Empirical Finance 2010, 17:606-622.
40. Sousa R.M. The consumption-wealth ratio and asset returns: the Euro area, the UK and the US. Journal of Money, Investment and Banking 2010, 16:12-29.
41. Tavares J., Valkanov R.I. The neglected effect of fiscal policy on stock and bond returns. EFA Annual Conference Paper 2003, No. 201.
42. Vinhas de Souza L. Estimating the bank lending channel in Russia. Bank and Credit 2006, 9:3-13.