Montasser, Ghassen El; Gupta, Rangan; Jooste, Charl; … - Department of Economics, Faculty of Economic and … - 2015
This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal...
