Publicação
Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework
| Resumo: | This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock prices changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability. |
|---|---|
| Autores principais: | Agnello, Luca |
| Outros Autores: | Dufrénot, Gilles; Sousa, Ricardo M. |
| Assunto: | Fiscal policy Asset prices Time-varying transition probability Markov process |
| Ano: | 2013 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| _version_ | 1867438668298321920 |
|---|---|
| author | Agnello, Luca |
| author2 | Dufrénot, Gilles Sousa, Ricardo M. |
| author2_role | author author |
| author_facet | Agnello, Luca Dufrénot, Gilles Sousa, Ricardo M. |
| author_role | author |
| contributor_name_str_mv | RepositóriUM - Universidade do Minho |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Agnello, Luca\"},{\"Person.name\":\"Dufrénot, Gilles\"},{\"Person.name\":\"Sousa, Ricardo M.\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | RepositóriUM - Universidade do Minho |
| datacite.creators.creator.creatorName.fl_str_mv | Agnello, Luca Dufrénot, Gilles Sousa, Ricardo M. |
| datacite.date.Accepted.fl_str_mv | 2013-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2013-12-12T09:23:38Z |
| datacite.date.embargoed.fl_str_mv | 2013-12-12T09:23:38Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| datacite.subjects.subject.fl_str_mv | Fiscal policy Asset prices Time-varying transition probability Markov process |
| datacite.titles.title.fl_str_mv | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| dc.contributor.none.fl_str_mv | RepositóriUM - Universidade do Minho |
| dc.creator.none.fl_str_mv | Agnello, Luca Dufrénot, Gilles Sousa, Ricardo M. |
| dc.date.Accepted.fl_str_mv | 2013-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2013-12-12T09:23:38Z |
| dc.date.embargoed.fl_str_mv | 2013-12-12T09:23:38Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | https://hdl.handle.net/1822/26934 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Elsevier |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| dc.subject.none.fl_str_mv | Fiscal policy Asset prices Time-varying transition probability Markov process |
| dc.title.fl_str_mv | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock prices changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability. |
| dirty | 0 |
| eu_rights_str_mv | restrictedAccess |
| format | article |
| fulltext.url.fl_str_mv | https://repositorium.uminho.pt/bitstreams/f4f189c2-535a-46c7-af00-964921a40a5c/download |
| id | rum_4030e9f80aa3585196245f89ee582ea9 |
| identifier.url.fl_str_mv | https://hdl.handle.net/1822/26934 |
| instacron_str | repositorium |
| institution | Universidade do Minho |
| instname_str | Universidade do Minho |
| language | eng |
| network_acronym_str | rum |
| network_name_str | RepositóriUM - Universidade do Minho |
| oai_identifier_str | oai:repositorium.uminho.pt:1822/26934 |
| organization_str_mv | urn:organizationAcronym:repositorium |
| person_str_mv | Agnello, Luca Dufrénot, Gilles Sousa, Ricardo M. |
| publishDate | 2013 |
| publisher.none.fl_str_mv | Elsevier |
| reponame_str | RepositóriUM - Universidade do Minho |
| repository_id_str | urn:repositoryAcronym:rum |
| service_str_mv | urn:repositoryAcronym:rum |
| spelling | engElsevierporThis paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock prices changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability.application/pdfporAdjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS frameworkAgnello, LucaDufrénot, GillesSousa, Ricardo M.HostingInstitutionOrganizationalRepositóriUM - Universidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.ptISSNIsPartOf0264-99932013-12-12T09:23:38Z20132013-01-01T00:00:00ZHandlehttps://hdl.handle.net/1822/26934http://purl.org/coar/access_right/c_16ecrestricted accessFiscal policyAsset pricesTime-varying transition probability Markov process368573 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_16ecapplication/pdffulltexthttps://repositorium.uminho.pt/bitstreams/f4f189c2-535a-46c7-af00-964921a40a5c/download |
| spellingShingle | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework Agnello, Luca Fiscal policy Asset prices Time-varying transition probability Markov process |
| status | SINGLETON |
| subject.fl_str_mv | Fiscal policy Asset prices Time-varying transition probability Markov process |
| title | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| title_full | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| title_fullStr | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| title_full_unstemmed | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| title_short | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| title_sort | Adjusting the U.S. fiscal policy for asset prices: evidence from a TVP-MS framework |
| topic | Fiscal policy Asset prices Time-varying transition probability Markov process |
| topic_facet | Fiscal policy Asset prices Time-varying transition probability Markov process |
| url | https://hdl.handle.net/1822/26934 |
| visible | 1 |