Expectation shocks and fiscal rules
Tóm tắt
This paper discuss expectation (or news) shocks to government expenditures: consumption or investment spending in an otherwise standard RBC model of the U.S. economy. In addition, we study the differences emerging from modelling fiscal policy with and without fiscal rules. We find that news about future fiscal policy generate dramatically different effects, if fiscal policy follows a rule. Our findings have several implications for the design and the implementation of fiscal policy as well as the estimation of fiscal shocks.
Tài liệu tham khảo
Bassetto M (2005) Equilibrium and government commitment. J Econ Theory 124(1):79–105
Baxter M, King RG (1993) Fiscal policy in general equilibrium. Am Econ Rev 83(3):315–334
Beaudry P, Portier F (2004) An exploration into pigou’s theory of cycles. J Monet Econ 51(6):1183–1216
Blanchard OJ, Perotti R (2002) An empirical characterization of the dynamic effects of changes in government spending and taxes on output. Q J Econ 117 (4):1329–1368
Born B, Peter A, Pfeifer J (2013) Fiscal news and macroeconomic volatility. J Econ Dyn Control 37(12):2582–2601
Christiano LJ, Eichenbaum M, Evans CL (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. J Polit Econ 113(1):1–45
Forni L, Monteforte L, Sessa L (2009) The general equilibrium effects of fiscal policy: estimates for the euro area. J Public Econ 93(3-4):559–585
Fujiwara I, Kang H (2006) Expectation shock simulation with dynare. QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
Hoon HT, Phelps ES (2008) Future fiscal and budgetary shocks. J Econ Theory 143(1):499–518
House CL, Shapiro MD (2006) Phased-in tax cuts and economic activity. Am Econ Rev 96(5):1835–1849
Leeper EM (1991) Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies. J Monet Econ 27(1):129–147
Leeper EM, Plante M, Traum N (2010) Dynamics of fiscal financing in the United States. J Econ 156(2):304–321
Leeper EM, Walker TB, Yang S-CS (2013) Fiscal foresight and information flows. Econometrica 81(3):1115–1145
Mehra R, Prescott EC (1980) Recursive competitive equilibrium: the case of homogeneous households. Econometrica 48(6):1365–1379
Mertens K, Ravn MO (2008) The aggregate effects of anticipated and unanticipated U.S. tax policy shocks: theory and empirical evidence. CEPR discussion papers 6673, C.E.P.R. discussion papers
Mertens K, Ravn MO (2009) Empirical evidence on the aggregate effects of anticipated and unanticipated U.S. tax policy shocks. CEPR discussion papers 7370, C.E.P.R. discussion papers
Mertens K, Ravn MO (2010) Measuring the impact of fiscal policy in the face of anticipation: a structural VAR approach. Econ J 120:544
Milani F (2011) Expectation shocks and learning as drivers of the business cycle. Econ J 121(552):379–401
Mountford A, Uhlig H (2009) What are the effects of fiscal policy shocks? J Appl Econom 24(6):960–992
Ricco G (2015) A new identification of fiscal shocks based on the information flow. Working Paper series 1813, European Central Bank
Ricco G, Callegari G, Cimadomo J (2016) Signals from the government: policy uncertainty and the transmission of fiscal shocks. J Monet Econ 82:107–118
Romer CD, Romer DH (2010) The macroeconomic effects of tax changes: estimates based on a new measure of fiscal shocks. Am Econ Rev 100(3):763–801
Wesselbaum D (2015) Sectoral labor market effects of fiscal spending. Struct Chang Econ Dyn 34:19–35