On fiscal and monetary policy-induced macroeconomic volatility dynamics

DOI10.1016/J.JEDC.2021.104123MaRDI QIDQ2246607zbMATH OpenOpenAlexFDO

Authors Xiaochun Liu

Publication date 16 November 2021

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2021.104123

zbMATH Keywords

government spending and monetary policy shockslevel and volatility shocksoutput and inflation volatility dynamicstime-varying SVARvolatility impulse responses and decompositions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• A generalised stochastic volatility in mean VAR
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Analysis of financial time series
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Multivariate Stochastic Variance Models
• Nonlinear Dynamic Structures
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(9)

• Measuring the impact of monetary policy attention on global asset volatility using search data
• Monetary and fiscal policy switching with time-varying volatilities
• Fiscal news and macroeconomic volatility
• Data revisions and the effects of monetary policy volatility
• The time-varying effect of fiscal policy on inflation: evidence from historical US data
• The Case for Restricting Fiscal Policy Discretion
• WELFARE COST OF MONETARY AND FISCAL POLICY SHOCKS
• Inflation dynamics and time-varying volatility: new evidence and an Ss interpretation
• Macroeconomic fluctuations in the United States: the role of monetary and fiscal policy shocks

Describes a project that uses

Uses Software

• bvarsv

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