Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153016
Authors: 
Bilbiie, Florin O.
Meier, André
Müller, Gernot J.
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 582
Abstract: 
Using vector autoregressions on U.S. time series for 1957-1979 and 1983-2004, we find government spending shocks to have stronger effects on output, consumption, and wages in the earlier sample. We try to account for this observation within a DSGE model featuring price rigidities and limited asset market participation. Specifically, we estimate the structural parameters of the model for both samples by matching impulse responses. Model-based counterfactual experiments suggest that increased asset market participation accounts for some of the changes in fiscal transmission. However, the key quantitative factor appears to be the more active monetary policy of the Volcker-Greenspan period.
Subjects: 
Asset Market Participation
DSGE
Fiscal Policy
government spending
Minimum Distance Estimation
monetary policy
Vector autoregression
JEL: 
E21
E62
E63
Document Type: 
Working Paper

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