Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/22475
Registo completo
Campo DC | Valor | Idioma |
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dc.contributor.author | Agnello, Luca | - |
dc.contributor.author | Dufrénot, Gilles | - |
dc.contributor.author | Sousa, Ricardo M. | - |
dc.date.accessioned | 2013-01-10T11:19:44Z | - |
dc.date.available | 2013-01-10T11:19:44Z | - |
dc.date.issued | 2012 | - |
dc.identifier.uri | https://hdl.handle.net/1822/22475 | - |
dc.description.abstract | This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock prices changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability. | por |
dc.description.sponsorship | Fundação para a Ciência e a Tecnologia (FCT) | por |
dc.language.iso | eng | por |
dc.rights | openAccess | por |
dc.subject | Fiscal policy | por |
dc.subject | Asset prices | por |
dc.subject | Time-varying transition probability Markov | por |
dc.title | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP--MS framework | por |
dc.type | workingPaper | por |
dc.peerreviewed | no | por |
dc.relation.publisherversion | http://www.eeg.uminho.pt/economia/nipe | por |
sdum.publicationstatus | published | por |
oaire.citationStartPage | 1 | por |
oaire.citationEndPage | 21 | por |
oaire.citationTitle | NIPE Working Papaer Series | por |
oaire.citationVolume | 20 | por |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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NIPE_WP_20_2012.pdf | Documento principal | 628,57 kB | Adobe PDF | Ver/Abrir |