Fiscal policy shocks and the dynamics of asset prices : the South African experience

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dc.contributor.author Aye, Goodness Chioma
dc.contributor.author Balcilar, Mehmet
dc.contributor.author Gupta, Rangan
dc.contributor.author Jooste, Charl
dc.contributor.author Miller, Stephen M.
dc.contributor.author Ozdemir, Zeynel Abidin
dc.date.accessioned 2014-08-06T12:13:24Z
dc.date.available 2014-08-06T12:13:24Z
dc.date.issued 2014-07
dc.description.abstract This study assesses how fiscal policy affects the dynamics of asset markets, using Bayesian vector autoregressive models. We use sign restrictions to identify government revenue and government spending shocks, while controlling for generic business cycle and monetary policy shocks. Using South African quarterly data from 1966:Q1 to 2011:Q2, we find that fiscal spending shocks affect stock prices more than house prices. Both spending and revenue shocks affect stock prices whereas only revenue shocks affect house prices. en_US
dc.description.librarian hb2014 en_US
dc.description.uri http://ltj.sagepub.com en_US
dc.identifier.citation Aye, GC, Balcilar, M, Gupta, R, Jooste, C, Miller, SM & Ozdemir, ZA 2014, 'Fiscal policy shocks and the dynamics of asset prices : the South African experience', Public Finance Review, vol. 42, no. 43, pp. 511-531. en_US
dc.identifier.issn 0265-5322 (print)
dc.identifier.issn 1477-0946 (online)
dc.identifier.uri http://hdl.handle.net/2263/41106
dc.language.iso en en_US
dc.publisher Sage en_US
dc.rights © 2014 by Sage Publications en_US
dc.subject Bayesian sign-restricted VAR en_US
dc.subject Fiscal policy en_US
dc.subject Housing prices en_US
dc.subject Stock prices en_US
dc.title Fiscal policy shocks and the dynamics of asset prices : the South African experience en_US
dc.type Postprint Article en_US


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