Monetary-Fiscal Policy Interaction and Fiscal Inflation: A Tale of Three Countries
| Autor: | Kliem, Martin, Kriwoluzky, Alexander, Sarferaz, Samad |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
INTERNATIONAL COMPARISONS (POINT OF VIEW)
Economics ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH) VEREINIGTE STAATEN VON AMERIKA USA (NORDAMERIKA) FISKALPOLITIK Inflation Time-Varying VAR FISCAL POLICY GERMANY (CENTRAL EUROPE). FEDERAL REPUBLIC OF GERMANY ITALIEN (SÜDEUROPA). REPUBLIK ITALIEN DEUTSCHLAND (MITTELEUROPA). BUNDESREPUBLIK DEUTSCHLAND ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH) ITALY (SOUTH EUROPE). REPUBLIC OF ITALY INFLATION INTERNATIONALER VERGLEICH (GESICHTSPUNKT) Public Deficits UNITED STATES OF AMERICA USA (NORTH AMERICA) ddc:330 E58 inflation public deficits time-varying VAR E61 E42 |
| Zdroj: | KOF Working Papers, 396 |
| Popis: | We study the impact of the interaction between fiscal and monetary policy on the low-frequency relationship between the fiscal stance and inflation using cross-country data from 1965 to 1999. In a first step, we contrast the monetary-fiscal narrative for Germany, the U.S. and Italy with evidence obtained from simple regression models and a time-varying VAR. We find that the low-frequency relationship between the fiscal stance and inflation is low during periods of an independent central bank and responsible fiscal policy and more pronounced in times of high fiscal budget deficits and accommodative monetary authorities. In a second step, we use an estimated DSGE model to interpret the low-frequency measure structurally and to illustrate the mechanisms through which fiscal actions affect inflation in the long run. The findings from the DSGE model suggest that switches in the monetary-fiscal policy interaction and accompanying variations in the propagation of structural shocks can well account for changes in the low-frequency relationship between the fiscal stance and inflation. KOF Working Papers, 396 |
| Databáze: | OpenAIRE |
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