Andre, ChristopheCaraiani, PetreGupta, Rangan2023-11-282023-11-282023-12André, C., Caraiani, P. & Gupta, R. 2023, 'Fiscal policy and stock markets at the effective lower bound', Finance Research Letters, vol. 58, art. 104564, pp. 1-9, doi : 10.1016/j.frl.2023.104564.1544-6123 (print)1544-6131 (online)10.1016/j.frl.2023.104564http://hdl.handle.net/2263/93480DATA AVAILABILITY : Data will be made available on request.We study the impact of fiscal policy at the effective lower bound (ELB) in the stocks markets of the Euro Area, by specifically looking at a government spending shock. To uncover the impact of this shock, we estimate a factor-augmented interacted panel vector-autoregressive (FAIPVAR) model. We find statistically different impacts of the government spending shock across the ELB and non-ELB periods, with relatively stronger positive impact on stock returns under the former. Conversely, the differences are not statistically significant for the United States using a time series data-based FAIVAR. Our findings have important implications from the perspectives of both policymaking and investors.en© 2023 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).Fiscal policyZero lower boundVector autoregressive (VAR)Stock marketEffective lower bound (ELB)Factor-augmented interacted panel vector-autoregressive (FAIPVAR)SDG-08: Decent work and economic growthArticle