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dc.contributor.authorAgnello, Luca-
dc.contributor.authorDufrénot, Gilles-
dc.contributor.authorSousa, Ricardo M.-
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.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
sdum.publicationstatusin publicationpor
oaire.citationTitleEconomic Modellingpor
dc.subject.wosSocial Sciencespor
sdum.journalEconomic Modellingpor
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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