On Fiscal Multipliers: Estimates From a Medium Scale Dsge Model

Zubairy, Sarah

doi:10.1111/iere.12045

Cited by 166 publications

(105 citation statements)

References 47 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Steady-state government expenditure is calibrated to ensure that its share in output, g=y, is 20%. The labor income tax rate, n , is set to 0.23, and the capital income tax rate, k , is set to 0.41, following Zubairy (2014). The (quarterly) property tax rate, p , is set to 0.0035, which implies an annual property tax rate of 1.4%, based on the 50-State Property Tax Comparison Study conducted by the Minnesota Taxpayers Association (2011).…”

Section: Steady-state Targets and Other Restrictions Imposed On The Ementioning

confidence: 99%

Addressing household indebtedness: Monetary, fiscal or macroprudential policy?

Alpanda

Zubairy

2017

European Economic Review

Self Cite

108

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. iii Terms of use: Documents in AbstractIn this paper, we build a dynamic stochastic general-equilibrium model with housing and household debt, and compare the effectiveness of monetary policy, housing-related fiscal policy, and macroprudential regulations in reducing household indebtedness. The model features long-term fixed-rate borrowing and lending across two types of households, and differentiates between the flow and the stock of household debt. We use Bayesian methods to estimate parameters related to model dynamics, while level parameters are calibrated to match key ratios in the U.S. data. We find that monetary tightening is able to reduce the stock of real mortgage debt, but leads to an increase in the household debt-toincome ratio. Among the policy tools we consider, tightening in mortgage interest deduction and regulatory loan-to-value (LTV) are the most effective and least costly in reducing household debt, followed by increasing property taxes and monetary tightening. Although mortgage interest deduction is a broader tool than regulatory LTV, and therefore potentially more costly in terms of output loss, it is effective in reducing overall mortgage debt, since its direct reach also extends to home equity loans. JEL classification: E52, E62, R38 Bank classification: Housing; Transmission of monetary policy; Financial system regulation and policies; Economic models RésuméDans cette étude, les auteurs construisent un modèle d'équilibre général dynamique et stochastique intégrant le logement et la dette des ménages, et comparent l'efficacité de diverses mesures (politique monétaire, fiscalité relative au logement et réglementation macroprudentielle) pour réduire l'endettement des ménages. Le modèle incorpore les emprunts et les prêts à taux fixe à long terme se rapportant à deux types de ménages, et établit une distinction entre les flux de crédit et l'encours de la dette. Les auteurs utilisent des méthodes bayésiennes pour estimer les paramètres liés à la dynamique du modèle, et les paramètres de niveau sont calibrés de manière à ce qu'ils correspondent aux ratios clés calculés à partir de données sur l'économie américaine. Ils constatent que le resserrement de la politique monétaire peut induire une baisse de l'encours de la dette hypothécaire réelle, mais entraîner une augmentation du ratio de la dette au revenu des ménages. Parmi les mesures prises en considération, la réduction de la déduction fiscale au titre des intérêts hypothécaires et l...

show abstract

Section: Steady-state Targets and Other Restrictions Imposed On The Ementioning

confidence: 99%

Addressing household indebtedness: Monetary, fiscal or macroprudential policy?

Alpanda

Zubairy

2017

European Economic Review

Self Cite

108

View full text Add to dashboard Cite

show abstract

“…This approach has significant advantages over others including full information approach which fits the model to all variations and data and not only to the impact of policy (Zubairy, 2009). In an earlier study, arguing in favour of Bayesian estimation, Milani and Poirier (2007) stated that the micro-foundation and the Bayesian approach have made the DSGE model to stand apart from the models built on dogmatic prior for structural parameters.…”

Section: Bayesian Estimation and Bayes' Theoremmentioning

confidence: 99%

Financial stability, wealth effects and optimal macroeconomic policy combination in the United Kingdom: A new-Keynesian dynamic stochastic general equilibrium framework

Nasir

Yago

Soliman

et al. 2016

Cogent Economics & Finance

View full text Add to dashboard Cite

This study derives an optimal macroeconomic policy combination for financial sector stability in the United Kingdom by employing a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) framework. The empirical results obtained show that disciplined fiscal and accommodative monetary policies stance is optimal for financial sector stability. Furthermore, fiscal indiscipline countered by contractionary monetary stance adversely affects financial sector stability. Financial markets, e.g. stocks and Gilts show a short-term asymmetric response to macroeconomic policy interaction and to each other. The asymmetry is a reflection of portfolio adjustment. However in the long-run, the responses to suggested optimal policy combination had homogenous effects and there was evidence of co-movement in the stock and Gilt markets.

show abstract

“…Angelopoulos, Philippopoulos, and Vassilatos (2009) maintain the representative-agent hypothesis and incorporate an uncoordinated redistributive struggle for transfers into an otherwise standard DSGE model. Zubairy (2014) investigates the consequences of temporary public transfer shocks in an estimated representative-agent DSGE model.…”

Section: Introductionmentioning

confidence: 99%

The Comeback of Inflation as an Optimal Public Finance Tool

2013

View full text Add to dashboard Cite

We challenge the widely held belief that New Keynesian models cannot predict optimal positive inflation rates. In fact, interest rates are justified by the Phelps argument that monetary financing can alleviate the burden of distortionary taxation. We obtain this result because, in contrast with previous contributions, our model accounts for public transfers as a component of fiscal outlays. We also contradict the view that the Ramsey policy should minimize inflation volatility and induce near-random-walk dynamics of public debt in the long run. In our model it should instead stabilize debt-to-GDP ratios in order to mitigate steady-state distortions. Our results thus provide theoretical support to policy-oriented analyses which call for a reversal of debt accumulated in the aftermath of the 2008 financial crisis.

show abstract

On Fiscal Multipliers: Estimates From a Medium Scale Dsge Model

Cited by 166 publications

References 47 publications

Addressing household indebtedness: Monetary, fiscal or macroprudential policy?

Addressing household indebtedness: Monetary, fiscal or macroprudential policy?

Financial stability, wealth effects and optimal macroeconomic policy combination in the United Kingdom: A new-Keynesian dynamic stochastic general equilibrium framework

The Comeback of Inflation as an Optimal Public Finance Tool

Contact Info

Product

Resources

About