Boom-Bust Phases in Asset Prices and Fiscal Policy Behavior

2004 ◽  
Author(s):  
Albert Jaeger
Keyword(s):  
Fiscal Policy ◽  
Asset Prices ◽  
Policy Behavior

Boom-Bust Phases in Asset Prices and Fiscal Policy Behavior

2007 ◽  
Vol 43 (6) ◽  
pp. 45-66 ◽  
Author(s):  
Albert Jaeger ◽  
Ludger Schuknecht
Keyword(s):  
Fiscal Policy ◽  
Asset Prices ◽  
Policy Behavior

scholarly journals Boom-Bust Phases in Asset Prices and Fiscal Policy Behavior

2004 ◽  
Vol 04 (54) ◽  
pp. 1 ◽  
Author(s):  
Ludger Schuknecht ◽  
Albert Jaeger ◽  
◽  
Keyword(s):  
Fiscal Policy ◽  
Asset Prices ◽  
Policy Behavior

scholarly journals A time-varying approach to analysing fiscal policy and asset prices in South Africa

2014 ◽  
Vol 6 (1) ◽  
pp. 46-63 ◽  
Author(s):  
Rangan Gupta ◽  
Charl Jooste ◽  
Kanyane Matlou
Keyword(s):  
Fiscal Policy ◽  
Stock Prices ◽  
Asset Prices ◽  
Marked Change ◽  
Var Model ◽  
Time Varying ◽  
Content Type ◽  
Vector Autoregressive ◽  
Time Varying Parameter ◽  
The Impact

Purpose – This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion. Design/methodology/approach – Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks. Findings – The results seem to suggest that at least two regimes exist in which expansionary fiscal policy affected asset prices. From the 1970s until 1990, fiscal expansions were associated with declining house and slightly increased stock prices. The majority of the first decade of 2000 had asset prices increasing when fiscal policy expanded. On the other hand, increasing asset prices reduced deficits for the majority of the sample period, while the recent financial crises had a marked change on the way asset prices affect fiscal policy. Originality/value – This is the first attempt in the literature of fiscal policy and asset prices to use a TVP-VAR model to not only analyse the impact of fiscal policy on asset prices, but also the feedback from asset prices to fiscal policy over time.

scholarly journals How does fiscal policy react to wealth composition and asset prices?

2012 ◽  
Vol 34 (3) ◽  
pp. 874-890 ◽  
Author(s):  
Luca Agnello ◽  
Vítor Castro ◽  
Ricardo M. Sousa
Keyword(s):  
Fiscal Policy ◽  
Asset Prices

scholarly journals Fiscal Policy Shocks and the Dynamics of Asset Prices in Turkey

2015 ◽  
Author(s):  
Evrim Tören ◽  
Mehmet Balcılar
Keyword(s):  
Fiscal Policy ◽  
Stock Prices ◽  
Asset Prices ◽  
Housing Prices ◽  
Banking System ◽  
Asset Markets ◽  
Important Relationship ◽  
Policy Shocks ◽  
The Government ◽  
The Impact

Asset markets and the asset prices affect financial institutions, consumers, producers and policy makers while they are making decisions. There is an important relationship not only between the financial market and banking system but also between the housing market and the credit market. Therefore, the study analyzes the impact of fiscal policy on asset prices by using beyasian vector autoregressive models. The sample data has been gathered from the Central Bank of the Republic of Turkey. The aim is to demonstrate the effects of fiscal policy shocks on stock prices and housing prices. The data covers the period between 1988:Q1 and 2014:Q2. Overall, the results confirm that the spending shocks coming from fiscal policy have a greater influence on the stock prices. In addition, the government revenue shocks are more influential on the house prices compared to the stock prices in Turkey.

scholarly journals Determinants of fiscal policy behavior in Nigeria

2019 ◽  
Vol 16 (2) ◽  
pp. 1-13 ◽  
Author(s):  
Patrick Ologbenla
Keyword(s):  
Fiscal Policy ◽  
Government Expenditure ◽  
Commodity Price ◽  
Oil Price ◽  
Annual Data ◽  
Government Revenue ◽  
Long Run ◽  
Short Run ◽  
Fiscal Behavior ◽  
Policy Behavior

The study investigated the factors that determine fiscal behavior in Nigeria. The vulnerability of fiscal policy framework in Nigeria to different shocks and the attendant effects on the behavior of fiscal policy are parts of the reasons that prompted this research work. Annual data between 1980 and 2015 on core fiscal variables such as government revenue, government expenditure, fiscal balance, public debt, as well as other variables such as oil price, exchange rate, and inflation rate commodity price among others, are used. The Auto-Regressive Distributed Lag ARDL estimating technique is used to analyze both the long-run and short-run effects of these variables on fiscal behavior in Nigeria. Findings from the study show that fiscal policy in Nigeria is highly vulnerable to shocks from these variables mostly in the short run. Notwithstanding, variables like government revenue, government expenditure, regime of administration, oil price and commodity price volatilities all have sustained effects till the long-run periods. It was discovered that oil price movements is not the only external factor that has pronounced effects on fiscal behavior, but commodity prices volatility generally constitutes an important influential factor in determination of fiscal policy behavior in Nigeria.

Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain

2015 ◽  
Vol 44 ◽  
pp. 358-362 ◽  
Author(s):  
Luca Agnello ◽  
Gilles Dufrénot ◽  
Ricardo M. Sousa
Keyword(s):  
Fiscal Policy ◽  
Asset Prices ◽  
Nonlinear Effects ◽  
The Uk
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