Kamal, Mona (2010): Empirical Investigation of Fiscal Policy Shocks in the UK. Published in: The Empirical Economics Letters , Vol. Volume, No. Number 4
Download (127kB) | Preview
This article examines fiscal policy shocks in the UK through using a Bayesian Vector Autoregression (BVAR) model which applies Mountford and Uhlig (2009) type sign-restriction. It investigates the impact of three fiscal policy experiments on macroeconomic variable. Specifically, the Deficit-Financed Spending Increase (DFSI), the Deficit-Financed Tax Cut (DFTC), and the Balanced-Budget Spending Increase (BBSI). The results show that, the policy conclusion differs according to the period under investigation.
|Item Type:||MPRA Paper|
|Original Title:||Empirical Investigation of Fiscal Policy Shocks in the UK|
|Keywords:||Fiscal policy; Bayesian VAR analysis; policy experiment.|
|Subjects:||E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook > E62 - Fiscal Policy
H - Public Economics > H6 - National Budget, Deficit, and Debt > H60 - General
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook > E60 - General
|Depositing User:||Mona Kamal|
|Date Deposited:||07. Nov 2010 22:43|
|Last Modified:||13. Feb 2013 15:46|
Afonso, A. and Sousa, M. R., The Macroeconomic Effects of Fiscal Policy, European Central Bank Working Paper No. 991/09.
Aiyagari, S. R., and Christiano, L. J. and Eichenbaum, M., 1992, The Output, Employment, and Interest Rate Effects of Government Consumption, Journal of Monetary Economics, 30, 73-86.
Bagliano, F. C. and Favero, C.A., 1998, Measuring Monetary Policy with VAR Models: An Evaluation, European Economic Review, 42, 1069-1112.
Barro, R. J., Government Spending, Interest Rates, Prices, and Budget Deficits in the United Kingdom, NBER Working Paper No. 2005/86.
Baxter, M. and King, R. G., 1993, Fiscal Policy in General Equilibrium, American Economic Review, 83, 315-333.
Benjamin, D. K. and L. K. Kochin, 1984, War, Prices and Interest Rates: A Martial Solution to Gibson’s Paradox in M. D. Bordo and J. Schwartz (eds), A Retrospective on Classical Gold Standard, Chicago University Press, 1821-1931.
Blanchard, O. and Roberto P., 2002, An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output, Quarterly Journal of Economics, 117, 1329-1368.
Burnside, C., Eichenbaum, M. and Fisher J.D.M., 2004, Fiscal Shocks and Their Consequences, Journal of Economic Theory, 115, 89-117.
Canova, F. and G. De Nicoló, 2002, Monetary Disturbances Matter for Business Fluctuations in the G-7, Journal of Monetary Economics, 49, 1131-1159.
Christiano, L., Eichenbaum, M. and Evans, C., Monetary Policy Shocks: What Have We Learned And To What End?, NBER Working Paper No.6400/98.
Devereux, M. B., Allen C. H., and Beverly J. L., 1996, Monopolistic Competition, Increasing Returns, and the Effects of Government Spending, Journal of Money, Credit and Banking, 28, 233-254.
Edelberg, W., Martin E., and Fisher J. D.M., 1999, Understanding the Effects of a Shock to Government Purchases, Review of Economics Dynamics, 2, 166-206.
Eichenbaum, M. and Fisher J.D.M., Fiscal Policy in the Aftermath of 9/11, NBER Working Paper No. 10430/04.
Fatás, A., and Mihov I., The Effects of Fiscal Policy on Consumption and Employment: Theory and Evidence, CEPR Discussion Paper No. 2760/01.
Faust, J., 1998, The Robustness of Identified VAR Conclusions About Money, Carnegie-Rochester Conference Series on Public Policy, 49, 207-244.
Favero C.A., 2001, Applied Macroeconometrics, Oxford University Press, Oxford.
Leeper, M., E. and Sims, C. A. and Zha, T., 1996, What Does Monetary Policy Do?, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, 27, 1-78.
Monacelli, T. and Perotti, R., 2006, Fiscal Policy the Trade Balance and the Real Exchange Rate: Implications for International Risk Sharing, working paper, Innocenzo Gasparini Institute for Economic Research (IGIER).
Mountford, A. and Uhlig, H., 2009, What Are the Effects of Fiscal Policy Shocks?, Journal of Applied Econometrics, 24, 960-992.
Peersman G., 2005, What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions, Journal of Applied Econometrics, 20, 185-207.
Perotti, R., 2005, Estimating the Effects of Fiscal Policy in OECD Countries, Proceedings, Federal Reserve Bank of San Francisco.
Perotti, R., In Search of the Transmission Mechanism of Fiscal Policy, NBER Working Paper No. 13143/07.
Ramey, V. and Shapiro, M., 1998, Costly Capital Reallocation and the Effects of Government Spending, Carnegie Rochester Conference Series on Public Policy, 48, 145–194.
Ravn, M., Schmitt-Grohé, S. and Uribe, M., 2007, Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate, NBER Working Paper No. 13328/07.
Romer, C. and D. H. Romer, 2007, The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks, NBER Working Paper No. 13264/07.
Rotemberg, J. and Woodford, M.,1992, Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity, Journal of Political Economy, 100, 1153-1207.
Sims, C. A. and Zha T., 1998, Bayesian Methods for Dynamic Multivariate Models, International Economic Review, 39, 949-968.
Uhlig, H., 2005, What Are the Effects of Monetary Policy On Output? Results from an Agnostic Identification Procedure, Journal of Monetary Economics, 52, 381- 419.