Monetary and fiscal policy interactions over the cycle: some empirical evidence

Muscatelli, V. Anton; Tirelli, Patrizio; Trecroci, Carmine

doi:10.1017/cbo9780511492389.011

Cited by 29 publications

(25 citation statements)

References 15 publications

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“…Van Aarle et al (2003) estimated the effects of fiscal and monetary policy for the members of the Economic and Monetary Union and found significant differences in reactions among the individual countries of the euro area. Muscatelli et al (2002) found a significant decrease in the responsiveness of the fiscal policy variables in the U.S. since 1979, and similar decreases were also reported for Italy, Germany, France and the United Kingdom.…”

Section: Ecb Working Paper Series No 1319supporting

confidence: 81%

Fiscal developments and financial stress: a threshold VAR analysis

2017

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Section: Ecb Working Paper Series No 1319supporting

confidence: 81%

Fiscal developments and financial stress: a threshold VAR analysis

2017

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“…Fialho and Portugal (2005), using monthly data from 1995:1 to 2003:9, also follow Canzonery et al (2001). They apply the approach of Muscatelli et al (2002) to investigate the interactions between the monetary and fiscal policies using the Markov-switching vector autoregressive model (Krolzig, 1997). They conclude that the macroeconomic coordination between monetary and fiscal policies in placeplaceBrazil was virtually a substitute policy, with a predominantly monetary regime, in opposition to the non-Ricardian policies of the FTPL.…”

Section: A Comparative Analysismentioning

confidence: 99%

The Fiscal Theory of the Price Level and the Interaction of Monetary and Fiscal Policies: The Brazilian Case

Moreira

Souza

Almeida

2007

Brazilian Review of Econometrics

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This paper aims to derive an optimal monetary policy rule in a context of fiscal disequilibrium and to empirically test whether Brazil presents active or passive fiscal and monetary policies. We analyze the transmission channels of the fiscal and monetary policies through estimation of a Philips curve and the fiscal IS curve. The results indicate that the fiscal deficit is statistically significant and affects the inflation rate indirectly via output gap. The empirical findings using the Leeper model indicate that the monetary policy is passive whereas the fiscal policy is active. In this context, we found empirical evidence that the Brazilian economy shows a fiscal dominance regime for the period 1995: I to 2006: II.

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“…While economic theory emphasizes how policies in a particular monetary and fiscal regime must interact to determine the price level uniquely, previous empirical studies in monetary and fiscal policy interactions tend to focus on dynamic patterns of correlation among policy variables (King and Plosser (1985), Melitz (1997Melitz ( , 2000, von Jagen et al (2001), Muscatelli et al (2002) and Kliem et al (2016)). …”

Section: Policy Interactionsmentioning

confidence: 99%

“…They find that the relationship between inflation and primary deficits over debt is mostly positive before 1980 and insignificantly different from zero after 1980. See also von Jagen et al (2001) and Muscatelli et al (2002) for some related work.…”

Section: Introductionmentioning

confidence: 99%

U.S. Monetary-Fiscal Regime Changes in the Presence of Endogenous Feedback in Policy Rules

Chang

Kwak

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to switch from passive to active, consistently with existence of a unique equilibrium, though both policies are active and government debt grows rapidly in some periods. We observe relatively strong interactions between monetary and fiscal policy regimes after the recent financial crisis. Finally, latent policy regime factors exhibit patterns of correlation with macroeconomic time series, suggesting that policy regime change is endogenous. Terms of use: Documents in Keywords

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Monetary and fiscal policy interactions over the cycle: some empirical evidence

Cited by 29 publications

References 15 publications

Fiscal developments and financial stress: a threshold VAR analysis

Fiscal developments and financial stress: a threshold VAR analysis

The Fiscal Theory of the Price Level and the Interaction of Monetary and Fiscal Policies: The Brazilian Case

U.S. Monetary-Fiscal Regime Changes in the Presence of Endogenous Feedback in Policy Rules

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