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	Fiscal policy and asset markets: A semiparametric analysis
	Jansen, Dennis W. ; Li, Qi ; Wang, Zijun ; Yang, Jian
	2010-05-11 ; 2010-05-11
关键词	Fiscal deficits Monetary policy Stock market Semiparametric estimation NONLINEAR TIME-SERIES MODEL-SPECIFICATION TESTS CENTRAL-LIMIT-THEOREM MONETARY-POLICY STOCK RETURNS REGRESSION INFLATION BOOTSTRAP SELECTION DEFICITS Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods
中文摘要	Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the US asset markets (stocks, Corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and as a (indirect) conditioning information variable indicating binding constraints oil monetary policy actions. The results show that the impact of monetary policy on the stock market varies, depending oil fiscal expansion or contraction. The impact of fiscal policy on corporate and treasury bond yields follow similar patterns as in the equity market. The results are consistent with the notion of strong interdependence between monetary and fiscal policies. (C) 2008 Elsevier B.V. All rights reserved.
语种	英语 ; 英语
出版者	ELSEVIER SCIENCE SA ; LAUSANNE ; PO BOX 564, 1001 LAUSANNE, SWITZERLAND
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/26250]
专题	清华大学
推荐引用方式 GB/T 7714	Jansen, Dennis W.,Li, Qi,Wang, Zijun,et al. Fiscal policy and asset markets: A semiparametric analysis[J],2010, 2010.
APA	Jansen, Dennis W.,Li, Qi,Wang, Zijun,&Yang, Jian.(2010).Fiscal policy and asset markets: A semiparametric analysis..
MLA	Jansen, Dennis W.,et al."Fiscal policy and asset markets: A semiparametric analysis".(2010).

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