Expansionary Effect of an Anticipated Fiscal Policy on Consumption in Japan
This paper investigates the effect of an anticipated fiscal policy on consumption in Japan. I identify an anticipated increment in public investment by using the excess stock returns on the construction industry and by applying the sign restriction VAR. The result shows that GDP and consumption respond to a public investment shock positively. Further, I demonstrate that the empirical facts are consistent with the New Keynesian model that has a high elasticity of labor supply and a large share of Non-Ricardians.
|Date of creation:||Jan 2012|
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- Karel Mertens & MortenO. Ravn, 2010.
"Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach,"
Royal Economic Society, vol. 120(544), pages 393-413, 05.
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3275, University Library of Munich, Germany, revised 27 Apr 2007.
- Kohara, Miki & Horioka, Charles Yuji, 2006.
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- Miki Kohara & Charles Yuji Horioka, 2006. "Do Borrowing Constraints Matter? An Analysis of Why the Permanent Income Hypothesis Does Not Apply in Japan," NBER Working Papers 12330, National Bureau of Economic Research, Inc.
- Miki Kohara & Charles Yuji Horioka, 2006. "Do Borrowing Constraints Matter? An Analysis of Why the Permanent Income Hypothesis Does Not Apply in Japan," ISER Discussion Paper 0663, Institute of Social and Economic Research, Osaka University.
- Sugo, Tomohiro & Ueda, Kozo, 2008. "Estimating a dynamic stochastic general equilibrium model for Japan," Journal of the Japanese and International Economies, Elsevier, vol. 22(4), pages 476-502, December.
- JonasD.M. Fisher & Ryan Peters, 2010.
"Using Stock Returns to Identify Government Spending Shocks,"
Royal Economic Society, vol. 120(544), pages 414-436, 05.
- Jonas D. M. Fisher & Ryan Peters, 2009. "Using stock returns to identify government spending shocks," Working Paper Series WP-09-03, Federal Reserve Bank of Chicago.
- IWATA Yasuharu, 2009. "Fiscal Policy in an Estimated DSGE Model of the Japanese Economy: Do Non-Ricardian Households Explain All?," ESRI Discussion paper series 216, Economic and Social Research Institute (ESRI).
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