We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to switch from passive to active, consistently with existence of a unique equilibrium, though both policies are active and government debt grows rapidly in some periods. We observe relatively strong interactions between monetary and fiscal policy regimes after the recent financial crisis. Finally, latent policy regime factors exhibit patterns of correlation with macroeconomic time series, suggesting that policy regime change is endogenous. ; A completely revised version of this paper has been published as Chang, Yoosoon; Kwak, Boreum; Qiu, Shi: U.S. Monetary and Fiscal Policy Regime Changes and Their Interactions. IWH Discussion Paper 12/2021. Halle (Saale) 2021: https://hdl.handle.net/10419/247268
We investigate U.S. monetary and fiscal policy interactions in a regime-switching model of monetary and fiscal policy rules where policy mixes are determined by a latent bivariate autoregressive process consisting of monetary and fiscal policy regime factors, each determining a respective policy regime. Both policy regime factors receive feedback from past policy disturbances, and interact contemporaneously and dynamically to determine policy regimes. We find strong feedback and dynamic interaction between monetary and fiscal authorities. The most salient features of these interactions are that past monetary policy disturbance strongly influences both monetary and fiscal policy regimes, and that monetary authority responds to past fiscal policy regime. We also find substantial evidence that the U.S. monetary and fiscal authorities have been interacting: central bank responds less aggressively to inflation when fiscal authority puts less attention on debt stabilisation, and vice versa.
We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to switch from passive to active, consistently with existence of a unique equilibrium, though both policies are active and government debt grows rapidly in some periods. We observe relatively strong interactions between monetary and fiscal policy regimes after the recent financial crisis. Finally, latent policy regime factors exhibit patterns of correlation with macroeconomic time series, suggesting that policy regime change is endogenous.
Zugriffsoptionen:
Die folgenden Links führen aus den jeweiligen lokalen Bibliotheken zum Volltext:
Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting. This second volume, Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, focuses on econometric applications related, some closely and some very loosely, to Professor Park's more recent work before concluding with a retrospective summarizing four decades of Advances in Econometrics.
Zugriffsoptionen:
Die folgenden Links führen aus den jeweiligen lokalen Bibliotheken zum Volltext:
Asymptotic moments of autoregressive estimators with a near unit root and minimax risk / Bruce E. Hansen -- Fixed-smoothing asymptotics and asymptotic F and t tests in the presence of strong autocorrelation / Yixiao Sun -- Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors / Yong Bao, Aman Ullah, Ru Zhang -- On the size distortion from linearly interpolating low-frequency series for cointegration tests / Eric Ghysels, J. Isaac Miller -- Testing for cointegration in Markov switching error correction models / Liang Hu, Yongcheol Shin -- Specification testing in parametric trending models with unknown errors / Jiti Gao, Maxwell King -- Panel macroeconometric modeling / Cheng Hsiao -- Mean average estimation of dynamic panel models with nonstationary initial condition / John Chao, Myungsup Kim, Donggyu Sul -- Efficient estimation and inference for difference-in-difference regressions with persistent errors / Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul -- A CUSUM test for common trends in large heterogeneous panels / Javier Hidalgo, Jungyoon Lee -- Test of hypotheses in a time trend panel data model with serially correlated error component disturbances / Badi H. Baltagi, Chihwa Kao, Long Liu -- Limit theory and inference about conditional distributions / Purevdorj Tuvaandorj, Victoria Zinde-Walsh -- On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous / Jan F. Kiviet, Jerzy Niemczyk -- Testing the equality of two positive-definite matrices with application to information matrix testing / Jin Seo Cho, Halbert White -- Minimax estimation of nonregular parameters and discontinuity in minimax risk / Kyungchul Song -- The gap between the conditional wage distributions of incumbents and the newly hired employees : decomposition and uniform ordering / Esfandiar Maasoumi, Melinda Pitts, Ke Wu -- Deviance information criterion for comparing VAR Models / Tao Zeng, Yong Li, Jun Yu -- Stable limit theory for the variance targeting estimator / Igor Vaynman, Brendan K. Beare -- Assessing the power of long-horizon predictive tests in models of bull and bear markets / Alex Maynard, Dongmeng Ren -- Idiosyncratic volatility, expected windfall, and the cross-section of stock returns / Chi Wan, Zhijie Xiao.
Verfügbarkeit an Ihrem Standort wird überprüft
Dieses Buch ist auch in Ihrer Bibliothek verfügbar: