This paper investigates the effect of an anticipated fiscal policy on consumption in Japan. I identify an anticipated increment in public investment by using the excess stock returns on the construction industry and by applying the sign restriction VAR. The result shows that GDP and consumption...

This paper investigates the sources of Japanese business fluctuations since the 1990s taking into account both external shocks (e.g., risk premium and foreign demand shock) and domestic supply and demand shocks. We use the sign-restricted VAR model based on the theoretical model to identify...

This paper empirically investigates the changing dynamics of fiscal policy shocks to the macroeconomy in Japan. By estimating a Markov-switching vector-autoregressive (VAR) model, regime switches in both automatic fiscal responses to output and discretionary fiscal shocks are investigated. The...