Encontrados 14 documentos, a visualizar página 1 de 2
Adjusting the U.S. fiscal policy for asset prices : evidence from a TVP--MS fra...
Agnello, Luca; Dufrénot, Gilles; Sousa, Ricardo M.This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock prices changes during normal times. However, at periods characterized ...
Financial reforms and income inequality
Agnello, Luca; Mallick, Sushanta K.; Sousa, Ricardo M.Using a panel of 62 countries for 1973-2005, we assess the impact of financial reforms on income inequality. We find that removal of policies towards directed credit and excessively high reserve requirements, and improvements in the securities market reduce inequality.
How does fiscal policy react to wealth composition and asset prices?
Agnello, Luca; Castro, Vítor; Sousa, Ricardo M.We assess the response of fical policy to developments in asset markets in the US and the UK. We estimate fical polyce rules augmented with aggregate wealth, wealth composition (i.e. financial and housing wealth) and asset prices (i.e. stock and housing prices) using: (i) a linear framework based on a fully simultaneous system approach; and (ii) two nonlinear specifications that rely on a smooth transition regr...
Fiscal consolidation and income inequality
Agnello, Luca; Sousa, Ricardo M.In this paper, we assess the impact of fiscal consolidation on income inequality. Using a panel of 18 industrialized countries from 1970 to 2010, we find that income inequality significantly rises both during periods of fiscal consolidation and in the aftermath of such adjustments. In addition, fiscal authority that is driven by spending cuts seems to be more detrimental for income distribution than in the case...
Fiscal policy and asset prices
Agnello, Luca; Sousa, Ricardo M.We assess the role played by scal policy in explaining the dynamics of asset markets. Using a panel of ten industrialized countries, we show that a positive scal shock has a negative impact in both stock and housing prices. However, while stock prices immediately adjust to the shock and the e¤ect of scal policy is temporary, housing prices gradually and persistently fall. As a result, the attempts of scal p...
How do banking crises impact on income Inequality?
Agnello, Luca; Sousa, Ricardo M.NIPE_WP_30_2011 ; We show that banking crises have an important effect on income distribution: inequality increases before banking crisis episodes and sharply decline afterwards. We also find that,while a large government size does not per se seem to reduce inequality, a rise in financial depth (i.e. better access to credit provided by the banking sector) contributes to a more equal distribution of income.
Fiscal policy discretion, private spending, and crisis episodes?
Agnello, Luca; Furceri, Davide; Sousa, Ricardo M.NIPE_WP_31_2011 ; In this paper, we assess the impact of fiscal policy discretion on economic activity in the short and medium-term. Using a panel of 132 countries from 1960 to 2008, we find that fiscal policy discretion provides a net stimulus to the economy in the short-run and crowding-in effects are amplified once crisis episodes are controlled for– in particular, banking crises - giving a great scope for ...
Assessing long-term fiscal developments : a new approach
Afonso, António; Agnello, Luca; Furceri, Davide; Sousa, Ricardo M.We use a new approach to assess long-term fiscal developments. By analyzing the time-varying behaviour of the two components of government spending and revenue – responsiveness and persistence–, a feature not captured by automatic stabilisers, we are able to infer about the sources of fiscal deterioration (improvement). Drawing on quarterly data, we estimate recursively these components within a system of gover...
Fiscal policy and asset prices
Agnello, Luca; Sousa, Ricardo M.We assess the role played by fiscal policy in explaining the dynamics of asset markets. Using a panel of ten industrialized countries, we show that a positive fiscal shock has a negative impact in both stock and housing prices. However, while stock prices immediately adjust to the shock and the effect of fiscal policy is temporary, housing prices gradually and persistently fall. As a result, the attempts of fis...
Assessing long-term fiscal developments : a new approach
Afonso, António; Agnello, Luca; Furceri, Davide; Sousa, Ricardo M.We use a new approach to assess long-term fiscal developments. By analyzing the timevarying behaviour of the two components of government spending and revenue – responsiveness and persistence – we are able to infer about the sources of fiscal behaviour. Drawing on quarterly data we estimate recursively these components within a system of government revenue and spending equations using a Three-Stage Least Square...
| Financiadores do RCAAP | |||||||
|
|
|
|
|
|
||