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How Does Fiscal Policy React to Wealth Composition and Asset Prices?

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Author Info

  • Luca Agnello

    ()
    (Banque de France)

  • Vítor Castro

    ()
    (Universidade de Coimbra and NIPE)

  • Ricardo M. Sousa

    ()
    (Universidade do Minho - NIPE)

Abstract

We assess the response of fical policy to developments in asset markets in the US and the UK. We estimate fical polyce rules augmented with aggregate wealth, wealth composition (i.e. financial and housing wealth) and asset prices (i.e. stock and housing prices) using: (i) a linear framework based on a fully simultaneous system approach; and (ii) two nonlinear specifications that rely on a smooth transition regression (STR) and a Markov-switching (MS) model. The linear framework suggests that, while primary spending does not seem to react to wealth composition or asset prices, taxes and primary surplus are significantly: (i) cut when financial wealth or stock prices rise, and (ii) raised when housing wealth or housing prices increase. The smooth transition regression model shows that primary spending and fiscal balance are adjusted in a nonlinear fashion to both wealth and price effects, while the Markov-switching framework highlights the importance of tax cuts (in the US) and spending hikes (in the UK) to offset the decline in wealth suring major recessions and financial crises. Overall, our results provide evidence of a non-stabilizing effect of government debt, a countercyclical policy and a vigilant track of wealth developments by fiscal authorities.

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Paper provided by NIPE - Universidade do Minho in its series NIPE Working Papers with number 24/2011.

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Date of creation: 2011
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Handle: RePEc:nip:nipewp:24/2011

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Keywords: fiscal policy; wealth composition; asset prices;

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Cited by:
  1. Vítor Castro & Megumi Kubota, 2013. "Duration dependence and change-points in the likelihood of credit booms ending," NIPE Working Papers 09/2013, NIPE - Universidade do Minho.
  2. Luca Agnello & Vitor Castro & Ricardo M. Sousa, 2013. "Are There Change-Points in the Likelihood of a Fiscal Consolidation Ending?," GEMF Working Papers 2013-06, GEMF - Faculdade de Economia, Universidade de Coimbra.
  3. Athanasios O. Tagkalakis, 2013. "The output effects of systematic and non-systematic fiscal policy changes in Greece," Working Papers 167, Bank of Greece.
  4. Luca Agnello & Gilles Dufrénot & Ricardo M. Sousa, 2012. "Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework," NIPE Working Papers 20/2012, NIPE - Universidade do Minho.
  5. Fredj Jawadi & Ricardo M. Sousa, 2012. "Structural Breaks and Nonlinearity in US and UK Public Debt," NIPE Working Papers 25/2012, NIPE - Universidade do Minho.
  6. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel A. Ozdemir, 2012. "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working Papers 201228, University of Pretoria, Department of Economics.
  7. Fredj Jawadi & Ricardo M. Sousa, 2012. "Consumption and Wealth in the US, the UK and the Euro Area:A Nonlinear Investigation," NIPE Working Papers 24/2012, NIPE - Universidade do Minho.
  8. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201224, University of Pretoria, Department of Economics.
  9. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2012. "What determines the duration of a fiscal consolidation program?," NIPE Working Papers 17/2012, NIPE - Universidade do Minho.
  10. Rangan Gupta & Charl Jooste & Kanyane Matlou, 2013. "A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa," Working Papers 201303, University of Pretoria, Department of Economics.
  11. Alexander Zimper, 2014. "The minimal confidence levels of Basel capital regulation," Journal of Banking Regulation, Palgrave Macmillan, vol. 15(2), pages 129-143, April.
  12. Agnello, Luca & Dufrénot, Gilles & Sousa, Ricardo M., 2013. "Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices," Economic Modelling, Elsevier, vol. 34(C), pages 25-36.
  13. Agnello, Luca & Furceri, Davide & Sousa, Ricardo M., 2013. "How best to measure discretionary fiscal policy? Assessing its impact on private spending," Economic Modelling, Elsevier, vol. 34(C), pages 15-24.

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