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dc.contributor.authorMOLTENI, Francesco
dc.contributor.authorPAPPA, Evi
dc.date.accessioned2017-06-28T12:51:57Z
dc.date.available2017-06-28T12:51:57Z
dc.date.issued2017
dc.identifier.issn1830-7728
dc.identifier.urihttp://hdl.handle.net/1814/47044
dc.description.abstractThis paper analyzes jointly the effects of monetary and fiscal policy shocks in the US economy using a factor augmented vector autoregressive model with drifting coefficients and stochastic volatility. The time varying structure of the model allows to assess the impact of monetary policy shocks in the same periods when fiscal policy shocks identified via the narrative approach are also at play. In this way we study how the monetary policy transmission changes conditional on expansionary or contractionary exogenous fiscal policies, which are determined by the discretionary intervention of the fiscal authority and are not the response of business cycle fluctuations or the reaction to monetary policy. We find that fiscal policy strongly affects the impulse responses to monetary policy shocks through the aggregate demand channel. These results are relevant to understand the implications of different policy mixes.en
dc.format.mimetypeapplication/pdfen
dc.language.isoenen
dc.relation.ispartofseriesEUI MWPen
dc.relation.ispartofseries2017/13en
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subjectTVP FAVARen
dc.subjectMonetary policy shocksen
dc.subjectFiscal policy shocksen
dc.subjectE52en
dc.subjectE62en
dc.subjectE63en
dc.subjectE65en
dc.subjectC32en
dc.titleThe combination of monetary and fiscal policy shocks : a TVP-FAVAR approachen
dc.typeWorking Paperen


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