Fiscal and Monetary Policy Interactions in New Zealand

Dennis Wesselbaum

MPRA Paper from University Library of Munich, Germany

Abstract: This paper aims to characterize the interactions between fiscal and monetary and policy in New Zealand. We estimate a multivariate Markov-switching model and document frequent policy switches. We identify two regime: accommodative and non-accommodative monetary policy. In the non-accommodative regime, monetary policy does not respond to changes in government debt, while it does so in the accommodative regime. Further, we show that the underlying shocks are characterized by a fair amount of heteroscedasticity

Keywords: Fiscal Theory of the Price Level; Markov-Switching; Monetaty and Fiscal Policy. (search for similar items in EconPapers)
JEL-codes: C32 E43 E63 (search for similar items in EconPapers)
Date: 2014-09-04
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:58763

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