Using vector autoregressions on U.S. time series for 1957-79 and 1983-2004, we find government spending shocks to have stronger effects on output, consumption, and wages in the earlier period. We try to account for this observation within a DSGE model featuring price rigidities and limited asset market participation. Specifically, we estimate the structural parameters of the model for both periods by matching impulse responses. Model-based counterfactual experiments suggest that most of the changes in fiscal policy transmission are accounted for by increased asset market participation and the more active monetary policy of the Volcker-Greenspan period.
What Accounts for the Change in U.S. Fiscal Policy Transmission?
Résumé
en
Using vector autoregressions on U.S. time series for 1957-79 and 1983-2004, we find government spending shocks to have stronger effects on output, consumption, and wages in the earlier period. We try to account for this observation within a DSGE model featuring price rigidities and limited asset market participation. Specifically, we estimate the structural parameters of the model for both periods by matching impulse responses. Model-based counterfactual experiments suggest that most of the changes in fiscal policy transmission are accounted for by increased asset market participation and the more active monetary policy of the Volcker-Greenspan period.
Auteur(s)
Florin Bilbiie1
, Gernot Mueller2
, Andre Meier3
1
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
Université Paris 1 Panthéon-Sorbonne UMR8174 ( 7550 )
;
Centre National de la Recherche Scientifique UMR8174 ( 441569 )
2
Universität Bonn = University of Bonn
( 63690 )
- D-53012 Bonn
- Allemagne
3
Research Department, Development Macroeconomics Division
( 164520 )
- International Monetary Fund, 700 19th Street, N.W., Washington, D.C. 20431
- États-Unis
International Monetary Fund ( 333307 )
Comité de lecture
Oui
Vulgarisation
Non
Langue du document
Anglais
Nom de la revue
Journal of Money, Credit and Banking
(ISSN : 0022-2879, ISSN électronique : 1538-4616)
Wiley
Publié par Wiley
http://www.ohiostatepress.org/
Revue non référencée dans Sherpa-Romeo
E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E21 - Consumption • Saving • Wealth
E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook/E.E6.E62 - Fiscal Policy
E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook/E.E6.E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy • Stabilization • Treasury Policy
Domaine(s)
Sciences de l'Homme et Société/Economies et finances
Florin Bilbiie, Gernot Mueller, Andre Meier. What Accounts for the Change in U.S. Fiscal Policy Transmission?. Journal of Money, Credit and Banking, 2008, 40 (7), pp.1439-1470. ⟨10.1111/j.1538-4616.2008.00166.x⟩. ⟨hal-00622867⟩