We investigate the effects of US federal spending news on the S&P 500 stock price index using a Mixed Frequency Time-Varying Parameters Factor Augmented Vector Autoregressive (MF-TVP-FAVAR) model. Unlike previous studies that rely on media coverage of spending changes and use indirect spending...

In this paper a panel analysis is employed to investigate the effects of governments' expenditure and taxation on stock market indexes in 11 members of the Eurozone. A significant number of studies have focused on the effects of monetary policy on the Eurozone stock markets, while only a limited...

The objective of this paper is to examine the effect of government spending fluctuations on firms' value in Selected Industries of Tehran Stock Exchange, using the TVP-FAVAR approach and using seasonal data during the period (2011-2018). The results from the TVP-FAVAR model describe that the...