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Government spending news and stock price index

Author

Listed:
  • Boniface Yemba

    (Marshall Univerisity)

  • Yi Duan

    (Marshall University)

  • Nabaneeta Biswas

    (Marshall University)

Abstract

In this paper, we investigate the effects of US federal spending news on the S&P 500 stock price index. Unlike previous studies, we model news based on actual spending bills signed by the US President and focus on a period of important spending changes in US history (January 2000 - December 2022). Using a Mixed Frequency Time-Varying Parameters Factor Augmented Vector Autoregressive (MF-TVP-FAVAR) model, we find a negative impact of spending news shock on the S&P 500 index. We ascertain the robustness of our result using the Nasdaq and Dow Jones stock price indices as well as estimates from a Bayesian VAR model.

Suggested Citation

  • Boniface Yemba & Yi Duan & Nabaneeta Biswas, 2023. "Government spending news and stock price index," Economics Bulletin, AccessEcon, vol. 43(4), pages 1816-1841.
    • Handle: RePEc:ebl:ecbull:eb-23-00406
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Spending News; Stock Price Index; FAVAR; Mixed frequencies;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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    Access and download statistics

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