Combining Monetary and Fiscal Policy in an SVAR for a Small Open Economy
AbstractThis 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.
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Bibliographic InfoPaper provided by University of Otago, Department of Economics in its series Working Papers with number 1313.
Length: 39 pages
Date of creation: Oct 2013
Date of revision: Oct 2013
Structural vector autoregressions; monetary and fiscal policy; fiscal foresight; narrative approach;
Other versions of this item:
- Alfred A.Haug & Tomasz Jędrzejowicz & Anna Sznajderska, 2013. "Combining monetary and fiscal policy in an SVAR for a small open economy," National Bank of Poland Working Papers 168, National Bank of Poland, Economic Institute.
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-15 (All new papers)
- NEP-MAC-2013-12-15 (Macroeconomics)
- NEP-MON-2013-12-15 (Monetary Economics)
- NEP-OPM-2013-12-15 (Open Economy Macroeconomics)
- NEP-PBE-2013-12-15 (Public Economics)
- NEP-TRA-2013-12-15 (Transition Economics)
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