Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/23354
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 | 2013-03-11T11:17:49Z | - |
dc.date.available | 2013-03-11T11:17:49Z | - |
dc.date.issued | 2013-02 | - |
dc.identifier.issn | 0264-9993 | por |
dc.identifier.uri | https://hdl.handle.net/1822/23354 | - |
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 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.sponsorship | Fundação para a Ciência e a Tecnologia (FCT) | por |
dc.description.sponsorship | COMPETE; QREN; FEDER; | por |
dc.language.iso | eng | por |
dc.publisher | Elsevier 1 | por |
dc.rights | restrictedAccess | por |
dc.subject | Fiscal policy | por |
dc.subject | Asset prices | por |
dc.subject | Time-varying transition probability | por |
dc.subject | Markov process | por |
dc.subject | Time-varying transition probability Markov process | por |
dc.title | Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices | por |
dc.type | article | por |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | http://ac.els-cdn.com/S0264999312004117/1-s2.0-S0264999312004117-main.pdf?_tid=0ce5bd5c-8a2b-11e2-9536-00000aab0f6b&acdnat=1362993007_a2543b47622e0ce38406d73a6bcdd8f6 | por |
sdum.publicationstatus | in publication | por |
oaire.citationStartPage | 25 | por |
oaire.citationEndPage | 36 | por |
oaire.citationTitle | Economic Modelling | por |
oaire.citationVolume | 34 | por |
dc.identifier.doi | 10.1016/j.econmod.2012.11.054 | por |
dc.subject.wos | Social Sciences | por |
sdum.journal | Economic Modelling | por |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Using time-varying_RSousa.pdf Acesso restrito! | Documento principal | 511,84 kB | Adobe PDF | Ver/Abrir |