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Combining Monetary and Fiscal Policy in an SVAR for a Small Open Economy

Author

Listed:
  • Alfred A. Haug

    () (Department of Economics, University of Otago, New Zealand)

  • Tomasz Jedrzejowicz

    () (National Bank of Poland)

  • Anna Sznajderska

    () (National Bank of Poland)

Abstract

This 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.

Suggested Citation

  • Alfred A. Haug & Tomasz Jedrzejowicz & Anna Sznajderska, 2013. "Combining Monetary and Fiscal Policy in an SVAR for a Small Open Economy," Working Papers 1313, University of Otago, Department of Economics, revised Oct 2013.
  • Handle: RePEc:otg:wpaper:1313
    as

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    File URL: http://www.otago.ac.nz/economics/otago111192.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Bogdan Andrei DUMITRESCU, 2015. "The Fiscal Consolidation Consequences On Economic Growth In Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 136-151, September.
    2. Pritha Mitra & Tigran Poghosyan, 2015. "Fiscal Multipliers in Ukraine," IMF Working Papers 15/71, International Monetary Fund.
    3. repec:psc:journl:v:9:y:2017:i:4:p:323-357 is not listed on IDEAS
    4. repec:nbp:nbpbik:v:48:y:2017:i:1:p:73-96 is not listed on IDEAS

    More about this item

    Keywords

    Structural vector autoregressions; monetary and fiscal policy; fiscal foresight; narrative approach;

    JEL classification:

    • 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

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