A Comparative Analysis on Effects of Fiscal and Monetary Policy Using Panel Structural VAR

• 발행기관: 한국무역연구원
• 저자명: Abdenour Haddou Ji-Young Jang
• 간행물 정보: 『무역연구』제16권 제5호, 155~167쪽, 전체 13쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2020.10.30

영문 초록

Purpose - The effects of monetary policy can be limited given the environment of zero rate to minimize the negative economic impacts of the Covid-19 pandemic. Therefore, the importance of fiscal policy cannot be emphasized too much. Efficiency of fiscal policy is dependent upon the reactions of economic agents. This paper examines the asymmetric effects of macro economic policy and Ricardian Equivalence Proposition to find out whether reasonable economic agents react in a way of offsetting expansionary fiscal policy if the fiscal spending is funded by issuing the government debts. Design/Methodology/Approach - Panel structural Vector Auto Regression (Panel VAR) model was used. The quarterly data from 5 OECD Countries - Canada, Japan, Spain, Sweden and Korea for the period of 1990 to 2018 were examined. The level of government debt and age dependency ratio were set as exogenous variables. Asymmetric effects of policy were identified by imposing contemporaneous restrictions. And the Recursive Cholesky Decomposition was conducted to compare the effects of monetary and fiscal policy to stimulate economy. Findings - First, the level of government debt was not statistically significant. It indicates that empirical validation of the Ricardian Equivalence Hypothesis was not supported with our data. Second, the effect of fiscal policy is stronger than the effect of monetary policy when the trend of aging population is considered. The one unit of increase in the shares of elderly population leads to lower short term rates. This suggests the demand for consumption and investments gets weakened by demographic shift to old age. Research Implications - The reactions of heterogenous private agents are critical to enhance the efficiency of the macro policy. Therefore, social and economic structure to boost inclusive development is important in terms of tax systems.

목차

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Econometric Methodology

Ⅳ. Conclusion

References

키워드

Fiscal policy Monetary policy Structural Vector Auto regression