Showing 101 - 110 of 124
In this paper we evaluate empirically the impact of fiscal policy on two key determinants of long-term growth, i.e., private investment and productivity growth. We mostly focus on a panel of 20 OECD economies from 1970 to 2009, although we also present some estimates based on data for 80...
Persistent link: https://www.econbiz.de/10013066298
We explore the time variation of factor loadings and abnormal returns in the context of a four-factor model. Our methodology, based on an application of the Kalman filter and on endogenous uncertainty, overcomes several limitations of competing approaches used in the literature. Besides taking...
Persistent link: https://www.econbiz.de/10013069986
This paper derives a New Keynesian dynamic general equilibrium model with liquidity-constrained consumers and sticky prices. The model allows a role for both government spending and taxation in the DGE model. The model is then estimated using US data. We find that rule-of-thumb consumers play a...
Persistent link: https://www.econbiz.de/10014059783
This paper provides new evidence on the distributional effects of fiscal policy using data on a panel of OECD economies over the last four decades. We study how four measures of income inequality and poverty respond to several stock and flow variables accounting for fiscal actions. We find that...
Persistent link: https://www.econbiz.de/10012938135
We explore empirically the transmission of U.S. financial and macroeconomic uncertainty to emerging market economies (EMEs). We start by assuming that there are crucial differences between volatility and uncertainty, and between the latter and its shocks. With the help of Bayesian vector...
Persistent link: https://www.econbiz.de/10012837420
We investigate the latent volatility structures of the fluctuations in the US business cycle and stock market valuations. The technical novelty of this work lies in the estimation of a Markov-switching stochastic-volatility model that allows for Bayesian sequential evaluation on both the...
Persistent link: https://www.econbiz.de/10012727190
Persistent link: https://www.econbiz.de/10012108469
Persistent link: https://www.econbiz.de/10012062256
Funding liquidity, i.e., the ease with which firms, investors and consumers can obtain funding, is a key property of today's monetary transmission mechanism. We investigate empirically the role played by various measures of credit availability in shaping the dynamics of asset prices and the...
Persistent link: https://www.econbiz.de/10012061054
We estimate forward-looking interest-rate reaction functions for the G3 economies and for a group of countries which recently adopted inflation targets. Some significant shifts in the conduct of monetary policy are detected in the G3 countries, especially in the US A and Japan. In contrast with...
Persistent link: https://www.econbiz.de/10009781553