The Effects of Anticipated Fiscal Policy Shock on Macroeconomic Dynamics in Japan

• 발행기관: 한국재정학회(구 한국재정·공공경제학회)
• 저자명: Hiroshi Morita
• 간행물 정보: 『한국재정학회 학술대회 논문집』2016년도 추계학술대회 논문집, 1~48쪽, 전체 48쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.10.30

영문 초록

This study investigates the effects of fiscal policy on macroeconomic dynamics in Japan with a particular focus on the effects of anticipated fiscal policy shock and the recent policies of Abenomics. We identify anticipated fiscal policy shock by combining excess stock returns for the construction industry and the VAR model with robust sign restrictions derived from a theoretical model. The primary result is that GDP and consumption respond positively to anticipated fiscal policy shock. Additionally, the result of historical decomposition that focused on the period of Abenomics reveals that anticipated fiscal policy shock positively contributes to consumption dynamics.

목차

1. Introduction

2. Theoretical model

3. Estimation methodology

4. Empirical results

5. Conclusion

키워드

Fiscal foresight Sign-restricted VAR model Abenomics