Fiscal policy and stock markets at the effective lower bound

Petre Caraiani · Rangan Gupta

9 citations0/0 files storedFinance research letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 9 citations exist upstream.

References

2005Estimation and Inference of Impulse Responses by Local Projections 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound 2011When Is the Government Spending Multiplier Large?2003Forecasting Output and Inflation: The Role of Asset Prices 2013Fiscal Multipliers in Recession and Expansion 2012Measuring the stance of monetary policy in zero lower bound environments 2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS 1989A Neoclassical Perspective on Budget Deficits

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.