The Transmission Channels of Government Spending Uncertainty - HAL-SHS - Sciences de l'Homme et de la Société
Pré-Publication, Document De Travail Année : 2021

The Transmission Channels of Government Spending Uncertainty

Résumé

Higher uncertainty about government spending generates a persistent decline in the economic activity in the Euro Area. This paper emphasizes the transmission channels explaining this empirical fact. First, a Stochastic Volatility model is estimated on European government consumption to build a measure of government spending uncertainty. Plugging this measure into a SVAR model, we stress that government spending uncertainty shocks have recessionary, persistent and humped-shaped effects. Second, we develop a New Keynesian model with financial frictions applying to a portfolio of equity and long-term government bonds. We argue that a portfolio effect-resulting from the imperfect substitutability among both assets-acts as a critical amplifier of the usual transmission channels.
Fichier principal
Vignette du fichier
WP 2021 - Nr 15.pdf (1 Mo) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

halshs-03160370 , version 1 (05-03-2021)

Identifiants

  • HAL Id : halshs-03160370 , version 1

Citer

Anna Belianska, Aurélien Eyquem, Céline Poilly. The Transmission Channels of Government Spending Uncertainty. 2021. ⟨halshs-03160370⟩
130 Consultations
253 Téléchargements

Partager

More