政府决策和宏观经济稳定：财政政策与金融市场波动

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2024-09-10 DOI:10.1016/j.iref.2024.103599

Alessandra Centinaio, Fausto Pacicco, Massimiliano Serati, Andrea Venegoni

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引用次数: 0

摘要

自 2008 年金融危机以来，宏观经济和金融市场的稳定政策主要依靠货币行动，这减少了欧洲央行的回旋余地，并要求财政当局发挥重要作用。我们研究了欧元区 11 个经济体（从 1995 年到 2021 年）的政府决策对金融市场的影响，从短期来看，我们采用了事件研究法，发现财政扩张（整顿）公告会带来积极（消极）的反应；从中长期来看，我们采用了贝叶斯 TVP-FAVAR 法，发现了跨国异质性；较强（较弱）的公共财政显示出财政政策与股票价格之间的直接（间接）关系，以及与 10 年期债券收益率之间的间接（直接）关系。

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Government decisions and macroeconomic stability: Fiscal policies and financial market fluctuations

Since the 2008 Financial crisis, macroeconomic and financial markets' stabilisation policies relied mainly on monetary actions, reducing the ECB's margin of manoeuvre and calling for a major role for fiscal authorities. We investigate the impact of government decisions on financial markets for 11 Eurozone economies (from 1995 to 2021), in the very short run, using an event study, finding a positive (negative) reaction to fiscal expansion (consolidation) announcements and in the short/medium-run, with a Bayesian TVP-FAVAR, identifying cross-country heterogeneities; stronger (weaker) public finances show a direct (indirect) relation between fiscal policies and stock prices and an indirect (direct) one with 10-year bond yield.

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.