Fiscal policy and asset markets: A semiparametric analysis Academic Article

abstract

• Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the US asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and as a (indirect) conditioning information variable indicating binding constraints on monetary policy actions. The results show that the impact of monetary policy on the stock market varies, depending on fiscal expansion or contraction. The impact of fiscal policy on corporate and treasury bond yields follow similar patterns as in the equity market. The results are consistent with the notion of strong interdependence between monetary and fiscal policies. 2008 Elsevier B.V. All rights reserved.

authors

• Jansen, Dennis
• Li, Qi

published proceedings

• JOURNAL OF ECONOMETRICS

author list (cited authors)

• Jansen, D. W., Li, Q. i., Wang, Z., & Yang, J.

citation count

• 56

complete list of authors

• Jansen, Dennis W||Li, Qi||Wang, Zijun||Yang, Jian

publication date

• January 2008

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• Fiscal Deficits
• Monetary Policy
• Semiparametric Estimation
• Stock Market

Digital Object Identifier (DOI)

• 10.1016/j.jeconom.2008.09.007

start page

• 141

end page

• 150

volume

• 147

issue

• 1

URL

• http://dx.doi.org/10.1016/j.jeconom.2008.09.007