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Combining monetary and fiscal policy in an SVAR for a small open economy

Alfred Haug (), Tomasz Jędrzejowicz and Anna Sznajderska ()
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Tomasz Jędrzejowicz: Economic Institute, Narodowy Bank Polski, http://www.nbp.pl

No 168, NBP Working Papers from Narodowy Bank Polski, Economic Research Department

Abstract: This paper combines a monetary structural vector-autoregression (SVAR) with a fiscal SVAR for Poland. Fiscal foresight, in the form of implementation lags, is accounted for with respect to both discretionary government spending and tax changes. We demonstrate the importance of combining monetary and fiscal transmission mechanisms. However, ignoring fiscal foresight has no statistically significant effects. We calculate an initial government spending multiplier of 0.14, which later peaks at 0.48. The tax multiplier is close to zero. We also find that monetary policy in Poland transmits mainly through the real sector, that is through real GDP and the real exchange rate.

Keywords: Structural vector autoregressions; monetary and fiscal policy; fiscal foresight; narrative approach (search for similar items in EconPapers)
JEL-codes: E52 E62 C51 (search for similar items in EconPapers)
Date: 2013
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