Tracking Monetary-Fiscal Interactions across Time and Space

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F18%3A43953685" target="_blank" >RIV/49777513:23520/18:43953685 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61989100:27510/18:10240258

Výsledek na webu

<a href="https://www.ijcb.org/journal/ijcb18q2a4.htm" target="_blank" >https://www.ijcb.org/journal/ijcb18q2a4.htm</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Tracking Monetary-Fiscal Interactions across Time and Space

Popis výsledku v původním jazyce

The long-term fiscal outlook of most high-income countries is grim. Should independent central bankers be afraid of an unpleasant monetarist arithmetic, i.e., fiscal imbalances spilling over to monetary policy and jeopardizing price stability? To provide some insights, this paper tracks the interactions between fiscal and monetary policies in the data since 1980 for Australia, Canada, Japan, Switzerland, the United Kingdom, and the United States. In doing so it uses a combination of time-varying parameter vector autoregression with sign, magnitude, and contemporaneous restrictions identification. Unlike conventional approaches, this can capture changes in monetary and fiscal behavior that are gradual and differ across the two policies. Our results show that in the United States the degree of monetary policy accommodation of fiscal shocks (debt-financed government spending) increased gradually between the late 1980s and the 2008 crisis, i.e., over the whole tenure of Chairman Greenspan. In contrast, it seems to have decreased over this period in the United Kingdom, Australia, Switzerland, and Canada. Our benchmark analysis and several robustness checks show that legislating numerical inflation targets may account for some of the country differences, presumably because they may shift the strategic power from fiscal to monetary policy. We conclude by considering the implications of our results for the long-term likelihood of an unpleasant monetarist arithmetic in the six countries.

Název v anglickém jazyce

Tracking Monetary-Fiscal Interactions across Time and Space

Popis výsledku anglicky

The long-term fiscal outlook of most high-income countries is grim. Should independent central bankers be afraid of an unpleasant monetarist arithmetic, i.e., fiscal imbalances spilling over to monetary policy and jeopardizing price stability? To provide some insights, this paper tracks the interactions between fiscal and monetary policies in the data since 1980 for Australia, Canada, Japan, Switzerland, the United Kingdom, and the United States. In doing so it uses a combination of time-varying parameter vector autoregression with sign, magnitude, and contemporaneous restrictions identification. Unlike conventional approaches, this can capture changes in monetary and fiscal behavior that are gradual and differ across the two policies. Our results show that in the United States the degree of monetary policy accommodation of fiscal shocks (debt-financed government spending) increased gradually between the late 1980s and the 2008 crisis, i.e., over the whole tenure of Chairman Greenspan. In contrast, it seems to have decreased over this period in the United Kingdom, Australia, Switzerland, and Canada. Our benchmark analysis and several robustness checks show that legislating numerical inflation targets may account for some of the country differences, presumably because they may shift the strategic power from fiscal to monetary policy. We conclude by considering the implications of our results for the long-term likelihood of an unpleasant monetarist arithmetic in the six countries.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA15-00735S" target="_blank" >GA15-00735S: Analýza stability optim a ekvilibrií v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Journal of Central Banking

ISSN

1815-4654

e-ISSN

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Svazek periodika

14

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

61

Strana od-do

167-227

Kód UT WoS článku

000435498400007

EID výsledku v databázi Scopus

2-s2.0-85059631860