Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/161925 
more recent Version: 
Year of Publication: 
2017
Series/Report no.: 
IWH Discussion Papers No. 15/2017
Publisher: 
Leibniz-Institut für Wirtschaftsforschung Halle (IWH), Halle (Saale)
Abstract: 
We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to switch from passive to active, consistently with existence of a unique equilibrium, though both policies are active and government debt grows rapidly in some periods. We observe relatively strong interactions between monetary and fiscal policy regimes after the recent financial crisis. Finally, latent policy regime factors exhibit patterns of correlation with macroeconomic time series, suggesting that policy regime change is endogenous.
Subjects: 
monetary and fiscal policy interactions
endogenous regime switching
adaptive LASSO
time-varying coefficient VAR
factor augmented VAR
JEL: 
C13
C32
C38
E52
E58
E63
Additional Information: 
A completely revised version of this paper has been published as Chang, Yoosoon; Kwak, Boreum; Qiu, Shi: U.S. Monetary and Fiscal Policy Regime Changes and Their Interactions. IWH Discussion Paper 12/2021. Halle (Saale) 2021: https://hdl.handle.net/10419/247268
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.