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You searched for subject:(Fiscal Policy Shock). Showing records 1 – 3 of 3 total matches.

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Texas A&M University

1. Zhou, Cheng. Essays on the State Dependent Effects of Monetary Policy and Fiscal Policy.

Degree: PhD, Economics, 2015, Texas A&M University

This dissertation analyzes the effects of monetary policy and fiscal policy from a state-dependent perspective. The first chapter is on the dynamic effect of monetary policy on asset price. Employing a two-state threshold local projection method, we find that when the Fed increases the Federal Funds rate, the stock price decreases in normal times, but increases during bubbly episodes. We allow time-varying risk premium and show that this result is driven by both the asymmetric effects on fundamentals and the existence of bubbles. Moreover, the paper captures the effect of an exogenous tightening monetary shock on stock prices as an increasing function of the size of bubbles, using a flexible semiparametric varying-coefficient model specification. The state-dependent evidence is more informative in measuring monetary policy effects than linear or time-varying methods, and is also robust to different identification schemes and various definitions of bubbles. This paper points out two important transmission channels of monetary policy on asset price: risk premium and asset bubbles, which are often ignored in theoretical models. On the policy side, our empirical analysis suggests that central banks should be cautious about adopting “leaning against bubble” monetary policies when the bubble size is relatively large. Another contribution is that we propose a novel empirical framework to study generalized state-dependent impulse response functions, a methodology which should have many applications in macroeconomics. The second chapter uses more than one hundred years of US historical data to examine the fiscal multiplier and how it may differ during different economic conditions. Using the flexible semiparametric varying coefficient method in the framework of local projections, we directly model the fiscal multiplier as a function of various state variables. The paper shows that the U.S. fiscal multiplier is slightly below one and approximately the same, during periods of slack as compared to normal times. Our results suggest that fiscal policy was not necessarily a more powerful tool to stimulate aggregate demand during the “Great Recession”. Advisors/Committee Members: Jansen, Dennis W. (advisor), Chen, Yong (committee member), Zhang, Yuzhe (committee member), Zubairy, Sarah (committee member).

Subjects/Keywords: State-Dependent Effect; Local Projections; Monetary Policy Shock; Fiscal Policy Shock; Semi-parametric Estimation

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APA (6th Edition):

Zhou, C. (2015). Essays on the State Dependent Effects of Monetary Policy and Fiscal Policy. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/155721

Chicago Manual of Style (16th Edition):

Zhou, Cheng. “Essays on the State Dependent Effects of Monetary Policy and Fiscal Policy.” 2015. Doctoral Dissertation, Texas A&M University. Accessed August 14, 2020. http://hdl.handle.net/1969.1/155721.

MLA Handbook (7th Edition):

Zhou, Cheng. “Essays on the State Dependent Effects of Monetary Policy and Fiscal Policy.” 2015. Web. 14 Aug 2020.

Vancouver:

Zhou C. Essays on the State Dependent Effects of Monetary Policy and Fiscal Policy. [Internet] [Doctoral dissertation]. Texas A&M University; 2015. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/1969.1/155721.

Council of Science Editors:

Zhou C. Essays on the State Dependent Effects of Monetary Policy and Fiscal Policy. [Doctoral Dissertation]. Texas A&M University; 2015. Available from: http://hdl.handle.net/1969.1/155721


University of Oxford

2. Wills, Samuel Edward. Macroeconomic policy in resource-rich economies.

Degree: PhD, 2013, University of Oxford

This thesis considers how fiscal and monetary policy should be conducted in resourcerich economies. It consists of three papers addressing: whether governments should spend, save or invest volatile oil income; the assets they should save in; and how monetary policy should respond. The first, “Eight principles for managing resource wealth”, shows that capital-scarce countries should save relatively less against oil price volatility, and invest more in domestic capital. They also should prepare for volatility in advance, and treat savings as a source of income rather than a temporary buffer. To show this the paper develops a framework that nests a variety of existing results, which are presented in eight principles. The second, “The Elephant in the Ground: Oil extraction and asset allocation in sovereign wealth funds”, shows that governments should use sovereign wealth funds to offset oil price risk, extract oil faster if its price is pro-cyclical, and use precautionary savings to manage any residual volatility. To do this it combines three strands of literature for the first time: on continuous-time portfolio theory, oil extraction and precautionary savings. The third, “Optimal monetary responses to oil discoveries”, addresses the anticipation effects around an oil discovery. It shows that the terms of trade will need to appreciate twice: once when oil is discovered and consumers anticipate future revenues; and again when the government begins spending the revenues. Oil wealth will give the monetary authority an incentive to appreciate the terms of trade, in addition to stabilising domestic inflation and the output gap. Optimal policy is well-approximated by a standard monetary rule that also responds to expected changes in the natural level of output.

Subjects/Keywords: 339; Economics; Macro and international economics; Development economics; Financial economics; Natural resources; oil; fiscal policy; monetary policy; sovereign wealth funds; news shock

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Wills, S. E. (2013). Macroeconomic policy in resource-rich economies. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:a7050812-cec5-47f6-912b-d00252c3d69f ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647543

Chicago Manual of Style (16th Edition):

Wills, Samuel Edward. “Macroeconomic policy in resource-rich economies.” 2013. Doctoral Dissertation, University of Oxford. Accessed August 14, 2020. http://ora.ox.ac.uk/objects/uuid:a7050812-cec5-47f6-912b-d00252c3d69f ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647543.

MLA Handbook (7th Edition):

Wills, Samuel Edward. “Macroeconomic policy in resource-rich economies.” 2013. Web. 14 Aug 2020.

Vancouver:

Wills SE. Macroeconomic policy in resource-rich economies. [Internet] [Doctoral dissertation]. University of Oxford; 2013. [cited 2020 Aug 14]. Available from: http://ora.ox.ac.uk/objects/uuid:a7050812-cec5-47f6-912b-d00252c3d69f ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647543.

Council of Science Editors:

Wills SE. Macroeconomic policy in resource-rich economies. [Doctoral Dissertation]. University of Oxford; 2013. Available from: http://ora.ox.ac.uk/objects/uuid:a7050812-cec5-47f6-912b-d00252c3d69f ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647543


University of Newcastle

3. Khandoker, Tajkira. A stock-flow-consistent model of macroeconomic and financial instability.

Degree: PhD, 2019, University of Newcastle

Research Doctorate - Doctor of Philosophy (PhD)

While the 2007-2008 global financial crisis (GFC) began as a localised financial disturbance due to the collapse of the US real estate boom, it quickly transformed into a global economic downturn due to the inter-connectivity of the international financial system. The aim of this study has been to analyse the underlying causes of the 2007–2008 GFC through a stock-flow-consistent macroeconomic modelling approach (SFC). Economists following the Post-Keynesian tradition believe that the slackening aggregate demand in both the US and in many other nations has been caused by policies of continual fiscal withdrawal, aggravated by the decades-long decline of wage share in the GDP, which in combination has led the non-government sector into cumulative deficits and rising indebtedness. The key contribution of this study has been an investigation into the impact of this coupling of real wage repression and declining government, complemented by an analysis of financial behaviour on the part of private sector agents (e.g. credit rationing, asset price appreciation), which was seen to have undermined financial and macroeconomic stability in the US (and elsewhere). To this end, a tractable, and parsimonious stock-flow-consistent macroeconomic model (SFC) with four-sectors (household, production firm, commercial bank and consolidated government) was constructed. Three independent sets of simulations, focusing, respectively, on: (i) government-expenditure and wage-share shocks; (ii) wage-share, interest-rate and-house-price shocks, and, (iii) marginal propensity to consume (MPC), interest-rate, and-house-price shocks were analysed by examining the aftershock paths of most of the key growth variables, both the short run and long run. The first and second set of simulations had similar consequences for the economy. However, due to the presence of capital gains from house price appreciation, in the second set, the increasing net wealth of the households boosted autonomous consumption. The third set featured growth of consumption induced by income. In summary, policies aimed at promoting a consistent and rapid appreciation of asset prices, as pursued by many nations, were shown to be associated with burgeoning private debt, ultimately, with recessionary consequences. Hopefully, this thesis will contribute to a better understanding the downside for policies of this kind, which characterise the current era of New Capitalism—one marked, in particular, by consumption-related expenditure that has become more autonomous in relation to disposable income. The findings can also be applied to the evaluation of more sustainable policy alternatives—including those associated with a currency-sovereign government exploiting its freedom to engage in fiscal policy directed at the maintenance of overall macroeconomic and financial stability.

Advisors/Committee Members: University of Newcastle. Faculty of Business & Law, Newcastle Business School.

Subjects/Keywords: stock-flow-consistent model; global financial crises; credit rationing; monetary policy; fiscal policy; aggregate demand; aggregate capacity; capacity utilisation; interest-rate-shock; wage-share-shock; asset price appreciation; marginal propensity to consumption; macroeconomic stability; financial stability; fiscal withdrawal policy; real wage repression; decline of wage share; housing market; household debt; mortgage crises

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Khandoker, T. (2019). A stock-flow-consistent model of macroeconomic and financial instability. (Doctoral Dissertation). University of Newcastle. Retrieved from http://hdl.handle.net/1959.13/1397937

Chicago Manual of Style (16th Edition):

Khandoker, Tajkira. “A stock-flow-consistent model of macroeconomic and financial instability.” 2019. Doctoral Dissertation, University of Newcastle. Accessed August 14, 2020. http://hdl.handle.net/1959.13/1397937.

MLA Handbook (7th Edition):

Khandoker, Tajkira. “A stock-flow-consistent model of macroeconomic and financial instability.” 2019. Web. 14 Aug 2020.

Vancouver:

Khandoker T. A stock-flow-consistent model of macroeconomic and financial instability. [Internet] [Doctoral dissertation]. University of Newcastle; 2019. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/1959.13/1397937.

Council of Science Editors:

Khandoker T. A stock-flow-consistent model of macroeconomic and financial instability. [Doctoral Dissertation]. University of Newcastle; 2019. Available from: http://hdl.handle.net/1959.13/1397937

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