Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/23354

Full metadata record
DC FieldValueLanguage
dc.contributor.authorAgnello, Luca-
dc.contributor.authorDufrénot, Gilles-
dc.contributor.authorSousa, Ricardo M.-
dc.date.accessioned2013-03-11T11:17:49Z-
dc.date.available2013-03-11T11:17:49Z-
dc.date.issued2013-02-
dc.identifier.issn0264-9993por
dc.identifier.urihttp://hdl.handle.net/1822/23354-
dc.description.abstractThis paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability Markovian processes (TVPMS), 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 price 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.sponsorshipFundação para a Ciência e a Tecnologia (FCT)por
dc.description.sponsorshipCOMPETE; QREN; FEDER;por
dc.language.isoengpor
dc.publisherElsevierpor
dc.rightsrestrictedAccesspor
dc.subjectFiscal policypor
dc.subjectAsset pricespor
dc.subjectTime-varying transition probabilitypor
dc.subjectMarkov processpor
dc.subjectTime-varying transition probability Markov processpor
dc.titleUsing time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset pricespor
dc.typearticlepor
dc.peerreviewedyespor
dc.relation.publisherversionhttp://ac.els-cdn.com/S0264999312004117/1-s2.0-S0264999312004117-main.pdf?_tid=0ce5bd5c-8a2b-11e2-9536-00000aab0f6b&acdnat=1362993007_a2543b47622e0ce38406d73a6bcdd8f6por
sdum.publicationstatusin publicationpor
oaire.citationStartPage25por
oaire.citationEndPage36por
oaire.citationTitleEconomic Modellingpor
oaire.citationVolume34por
dc.identifier.doi10.1016/j.econmod.2012.11.054por
dc.subject.wosSocial Sciencespor
sdum.journalEconomic Modellingpor
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

Files in This Item:
File Description SizeFormat 
Using time-varying_RSousa.pdf
  Restricted access
Documento principal511,84 kBAdobe PDFView/Open

Partilhe no FacebookPartilhe no TwitterPartilhe no DeliciousPartilhe no LinkedInPartilhe no DiggAdicionar ao Google BookmarksPartilhe no MySpacePartilhe no Orkut
Exporte no formato BibTex mendeley Exporte no formato Endnote Adicione ao seu ORCID