دانلود مقاله شوک سیاست مالی و سرریز بین المللی
چکیده
مقدمه
شناسایی شوک های سیاست مالی در داده ها
یک مدل متعادل عمومی تصادفی پویا
تطبیق مدل با BVAR
چه چیزی بر اندازه سرریز بین المللی تأثیر می گذارد؟
نتیجه گیری
منابع
Abstract
Introduction
Identifying fiscal policy shocks in the data
A dynamic stochastic general equilibrium model
Reconciling the model to the BVAR
What affects the size of the international spillover?
Conclusion
References
چکیده
مکانیسم انتقال داخلی و بین المللی شوک های سیاست مالی در ایالات متحده و آلمان مورد تجزیه و تحلیل قرار می گیرد. با استفاده از یک رویکرد VAR بیزی، متوجه می‌شویم که در هر دوی این کشورها، گسترش مالی با افزایش تولید و همچنین مصرف خصوصی و سرمایه‌گذاری همراه است. شرایط تجارت، که بر انتقال بین‌المللی شوک‌های سیاست مالی تأثیر می‌گذارد، در پاسخ به یک توسعه مالی کاهش می‌یابد، بنابراین بخشی از افزایش قدرت خرید داخلی به خارج از کشور منتقل می‌شود. شوک مخارج دولت ایالات متحده برای همه اعضای غیرآمریکایی G7 انبساطی است. شوک مخارج دولت آلمان برای بیشتر اقتصادهای اروپایی، چه در داخل و چه خارج از منطقه یورو، انبساطی است. پویایی BVAR را می توان با استفاده از یک مدل تعادل عمومی پویا که در آن خانوارها و شرکت های ناهمگن با محدودیت های استقراض مواجه هستند، منطقی کرد.
توجه! این متن ترجمه ماشینی بوده و توسط مترجمین ای ترجمه، ترجمه نشده است.
Abstract
The domestic and international transmission mechanism of fiscal policy shocks are analysed in the United States and in Germany. Using a Bayesian VAR approach, we find that in both of these countries a fiscal expansion is associated with increases in output as well as in private consumption and investment. The terms of trade, which affect the international transmission of fiscal policy shocks, depreciate in response to a fiscal expansion, thus transferring some of the increased domestic purchasing power abroad. A US government spending shock is expansionary for all non-US G7 members. A German government spending shock is expansionary for most, but not all European economies, both within and outside the euro area. The dynamics of the BVAR can be rationalised using a dynamic stochastic general equilibrium model where heterogeneous households and firms face borrowing constraints.
Introduction
Not since the second World War has fiscal policy been such an important policy instrument. In response to the COVID-19 pandemic, the world is experiencing an unprecedented fiscal expansion. In the light of this, we seek to determine empirically the international spillover effects of an exogenous increase in government spending on relative prices and output. In addition, we inspect the mechanism through which these spillovers operate with the aid of a dynamic stochastic general equilibrium (DSGE) model.
We find that an unanticipated fiscal expansion in Germany and the United State increases output along with consumption and investment, in addition to a depreciation in the real exchange rate and in the terms of trade. Spillovers between the United States and the other G7 economies are positive, as are most of those between Germany and her European neighbours. Our theoretical model provides a potential rationale for understanding the manner in which spending shocks transmit through foreign economies.
Conclusion
Using data from the late 1990s until 2019 for the United States and Germany, we find that an increase in government spending is expansionary. It raises output, consumption and crowds in private sector investment. The increase in domestic absorption does not come at the cost of an appreciated real exchange rate. Indeed, the relative price of home-produced goods actually falls, causing the real exchange rate and terms of trade to depreciate. The expansionary effects of government spending are not confined to the home economy. Spillovers between the US and the G7 countries are positive, as are those between Germany and her European neighbours. The dynamics of the macroeconomy implied by the BVAR pose a challenge for macroeconomic modelling, with most existing studies finding negligible or even negative spillovers, as pointed out by Cwik and Wieland (2011). We show that a model with heterogeneous households, firms facing borrowing constraints and nominal rigidities can explain the key salient empirical features following a government spending shock. The model sheds light on potential factors determining the size of international spillovers in response to fiscal shocks. Relative country size matters, with bigger economies generating larger spillovers, as does openness to trade and the import content of government spending. The monetary policy response to fiscal policy also matters; a delayed monetary tightening to what is an inflationary fiscal expansion greatly increases the size of the international spillover. Neither the empirical evidence, nor the theoretical model, suggest an important role for the exchange rate regime in determining the size of the spillover effects of fiscal policy shocks.