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

Aye, Goodness Chioma; Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl; Miller, Stephen M.; Ozdemir, Zeynel Abidin

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