US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM
This study investigates the effectiveness of monetary and fiscal policies in the US by employing cointegration and a quatrovariate Vector Error Correction Model together with Granger causality tests. Two models are estimated: (i) nominal national income, the ten-year government bond yield, and two p...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia Press
2011
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| Online Access: | https://repo.uum.edu.my/id/eprint/25041/1/IJBS%208%202%202011%2040%2067.pdf |
| _version_ | 1825805211220836352 |
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| author | Zestos, George K. Geary, Andrew N. Cooksey, Kevin S. |
| author_facet | Zestos, George K. Geary, Andrew N. Cooksey, Kevin S. |
| author_sort | Zestos, George K. |
| collection | UUM |
| description | This study investigates the effectiveness of monetary and fiscal policies in the US by employing cointegration and a quatrovariate Vector Error Correction Model together with Granger causality tests. Two models are estimated: (i) nominal national income, the ten-year government bond yield, and two policy variables, the federal government deficit and the federal funds rate; (ii) real national income, and the other same three variables. Monetary and fiscal policies are jointly ineffective in influencing nominal national income. However, monetary and fiscal policies are jointly effective in influencing real national income. In contrast to the first model, only monetary policy was found to be reactive to changes in real national income and the long-term interest rate. The asymmetric responses of the two policies to changes in real economic activity are attributed to the fact that monetary policy is much more efficient in promptly responding to changes in economic conditions than fiscal policy. |
| first_indexed | 2024-07-04T06:28:35Z |
| format | Article |
| id | uum-25041 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:28:35Z |
| publishDate | 2011 |
| publisher | Universiti Utara Malaysia Press |
| record_format | eprints |
| spelling | uum-250412018-10-25T02:13:59Z https://repo.uum.edu.my/id/eprint/25041/ US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM Zestos, George K. Geary, Andrew N. Cooksey, Kevin S. HG Finance This study investigates the effectiveness of monetary and fiscal policies in the US by employing cointegration and a quatrovariate Vector Error Correction Model together with Granger causality tests. Two models are estimated: (i) nominal national income, the ten-year government bond yield, and two policy variables, the federal government deficit and the federal funds rate; (ii) real national income, and the other same three variables. Monetary and fiscal policies are jointly ineffective in influencing nominal national income. However, monetary and fiscal policies are jointly effective in influencing real national income. In contrast to the first model, only monetary policy was found to be reactive to changes in real national income and the long-term interest rate. The asymmetric responses of the two policies to changes in real economic activity are attributed to the fact that monetary policy is much more efficient in promptly responding to changes in economic conditions than fiscal policy. Universiti Utara Malaysia Press 2011 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25041/1/IJBS%208%202%202011%2040%2067.pdf Zestos, George K. and Geary, Andrew N. and Cooksey, Kevin S. (2011) US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM. International Journal of Banking and Finance (IIJBF), 8 (2). pp. 40-67. ISSN 1675-7227 http://ijbf.uum.edu.my/index.php/previous-issues/142-the-international-journal-of-banking-and-finance-ijbf-vol-8-no-2-june-2011 |
| spellingShingle | HG Finance Zestos, George K. Geary, Andrew N. Cooksey, Kevin S. US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM |
| title | US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM |
| title_full | US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM |
| title_fullStr | US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM |
| title_full_unstemmed | US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM |
| title_short | US Monetary-Fiscal Policy Mix Evidence from a Quatrovariate VECM |
| title_sort | us monetary fiscal policy mix evidence from a quatrovariate vecm |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/25041/1/IJBS%208%202%202011%2040%2067.pdf |
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