What accounts for the changes in U.S. fiscal policy transmission?

Florin Bilbiie, Andre Meier and Gernot Müller

No 582, Working Paper Series from European Central Bank

Abstract: Using vector autoregressions on U.S. time series for 1957-1979 and 1983-2004, we find government spending shocks to have stronger effects on output, consumption, and wages in the earlier sample. We try to account for this observation within a DSGE model featuring price rigidities and limited asset market participation. Specifically, we estimate the structural parameters of the model for both samples by matching impulse responses. Model-based counterfactual experiments suggest that increased asset market participation accounts for some of the changes in fiscal transmission. However, the key quantitative factor appears to be the more active monetary policy of the Volcker-Greenspan period. JEL Classification: E21, E62, E63

Keywords: Asset Market Participation; DSGE; fiscal policy; government spending; Minimum Distance Estimation; monetary policy; vector autoregression (search for similar items in EconPapers)
Date: 2006-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp582.pdf (application/pdf)

Related works:
Journal Article: What Accounts for the Changes in U.S. Fiscal Policy Transmission? (2008)
Journal Article: What Accounts for the Changes in U.S. Fiscal Policy Transmission? (2008)
Working Paper: What Accounts for the Change in U.S. Fiscal Policy Transmission? (2008)
Working Paper: What Accounts for the Change in U.S. Fiscal Policy Transmission? (2008)
Working Paper: What Accounts for the Change in U.S Fiscal Policy Transmission ? (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2006582

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().