The Transmission Channels of Government Spending Uncertainty
| Autor: | Belianska, Anna, Eyquem, Aurélien, Poilly, Céline |
|---|---|
| Přispěvatelé: | Aix-Marseille Sciences Economiques (AMSE), École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS), Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne (GATE Lyon Saint-Étienne), École normale supérieure de Lyon (ENS de Lyon)-Université Lumière - Lyon 2 (UL2)-Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon-Université Jean Monnet - Saint-Étienne (UJM)-Centre National de la Recherche Scientifique (CNRS), Institut Universitaire de France (IUF), Ministère de l'Education nationale, de l’Enseignement supérieur et de la Recherche (M.E.N.E.S.R.), Center for Economic Policy Research (CEPR), CEPR, German Institute for Economic Research (DIW Berlin), ANR-17-EURE-0020,AMSE (EUR),Aix-Marseille School of Economics(2017), ANR-20-CE26-0013,DEMUR,Prise de décision en période d'incertitude(2020), Groupe d'analyse et de théorie économique (GATE Lyon Saint-Étienne), Centre National de la Recherche Scientifique (CNRS)-Université de Lyon-Université Jean Monnet [Saint-Étienne] (UJM)-Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université Lumière - Lyon 2 (UL2)-École normale supérieure - Lyon (ENS Lyon), Lhuillier, Elisabeth, Aix-Marseille School of Economics - - AMSE (EUR)2017 - ANR-17-EURE-0020 - EURE - VALID, Prise de décision en période d'incertitude - - DEMUR2020 - ANR-20-CE26-0013 - AAPG2020 - VALID |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
JEL: E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy
Central Banking and the Supply of Money and Credit/E.E5.E52 - Monetary Policy portfolio adjustment cost JEL: E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy Macroeconomic Aspects of Public Finance and General Outlook/E.E6.E62 - Fiscal Policy government spending uncertainty stochastic volatility [SHS.ECO] Humanities and Social Sciences/Economics and Finance [SHS.ECO]Humanities and Social Sciences/Economics and Finance |
| Popis: | Higher uncertainty about government spending generates a persistent decline in the economic activity in the Euro Area. This paper emphasizes the transmission channels explaining this empirical fact. First, a Stochastic Volatility model is estimated on European government consumption to build a measure of government spending uncertainty. Plugging this measure into a SVAR model, we stress that government spending uncertainty shocks have recessionary, persistent and humped-shaped effects. Second, we develop a New Keynesian model with financial frictions applying to a portfolio of equity and long-term government bonds. We argue that a portfolio effect-resulting from the imperfect substitutability among both assets-acts as a critical amplifier of the usual transmission channels. |
| Databáze: | OpenAIRE |
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