Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/30655

TitleNonlinear effects of asset prices on fiscal policy : evidence from the UK, Italy and Spain
Author(s)Agnello, Luca
Dufrénot, Gilles
Sousa, Ricardo M.
KeywordsFiscal policy
Asset prices
Time-varying probability
Markov process
Issue date2015
PublisherElsevier
JournalEconomic modelling
CitationAgnello, L., Dufrenot, G., & Sousa, R. M. (2015). Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain. Economic Modelling, 44, 358-362. doi: 10.1016/j.econmod.2014.07.024
Abstract(s)We test for nonlinear effects of asset prices on the fiscal policy of threemajor European economies (the UK, Italy and Spain).We model primary government spending and government revenue as time-varying transition probability Markovian processes (TVPMS). We find that while in Italy fiscal policy is substantially neutral vis-à-vis asset price movements, fiscal authorities in the UK and Spain seem to track the dynamics of wealth. In particular, revenue-based fiscal policy interventions in the UK are particularly effective in counteracting shocks in the asset markets induced by sharp wealth fluctuations. Similarly, in Spain, the spending-side of the fiscal policy plays a dominant role in stabilizing stock and housing markets.
TypeArticle
Description"Available online 1 August 2014"
URIhttp://hdl.handle.net/1822/30655
DOI10.1016/j.econmod.2014.07.024
ISSN0264-9993
Publisher versionhttp://www.sciencedirect.com/science/article/pii/S026499931400279X#
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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