What are the effects of fiscal policy on asset markets?

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2011
Outros Autores: Sousa, Ricardo M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/25609
Resumo: We investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock prices in the U.K., while government revenue shocks have increased volatility in Italy.
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spelling What are the effects of fiscal policy on asset markets?Fiscal PolicyHousing PricesStock PricesWe investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock prices in the U.K., while government revenue shocks have increased volatility in Italy.ElsevierRepositório da Universidade de LisboaAfonso, AntónioSousa, Ricardo M.2022-09-28T10:22:36Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25609engAfonso, António and Ricardo M. Sousa. (2011). "What are the effects of fiscal policy on asset markets?". Economic Modelling, Vol. 28, No.4: pp. 1871-1890.0264-999310.1016/j.econmod.2011.03.018info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:10Zoai:www.repository.utl.pt:10400.5/25609Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:26.183757Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv What are the effects of fiscal policy on asset markets?
title What are the effects of fiscal policy on asset markets?
spellingShingle What are the effects of fiscal policy on asset markets?
Afonso, António
Fiscal Policy
Housing Prices
Stock Prices
title_short What are the effects of fiscal policy on asset markets?
title_full What are the effects of fiscal policy on asset markets?
title_fullStr What are the effects of fiscal policy on asset markets?
title_full_unstemmed What are the effects of fiscal policy on asset markets?
title_sort What are the effects of fiscal policy on asset markets?
author Afonso, António
author_facet Afonso, António
Sousa, Ricardo M.
author_role author
author2 Sousa, Ricardo M.
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Sousa, Ricardo M.
dc.subject.por.fl_str_mv Fiscal Policy
Housing Prices
Stock Prices
topic Fiscal Policy
Housing Prices
Stock Prices
description We investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock prices in the U.K., while government revenue shocks have increased volatility in Italy.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
2022-09-28T10:22:36Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/25609
url http://hdl.handle.net/10400.5/25609
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António and Ricardo M. Sousa. (2011). "What are the effects of fiscal policy on asset markets?". Economic Modelling, Vol. 28, No.4: pp. 1871-1890.
0264-9993
10.1016/j.econmod.2011.03.018
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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