{"title":"Effects of Anticipated Fiscal Policy Shock on Macroeconomic Dynamics in Japan","authors":"Hiroshi Morita","doi":"10.1111/jere.12140","DOIUrl":null,"url":null,"abstract":"<p>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 vector autoregressive 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. In addition, the result of the historical decomposition that focuses on the period of Abenomics reveals that anticipated fiscal policy shock positively contributes to consumption dynamics.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"68 3","pages":"364-393"},"PeriodicalIF":1.5000,"publicationDate":"2017-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12140","citationCount":"9","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Japanese Economic Review","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jere.12140","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 9
Abstract
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 vector autoregressive 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. In addition, the result of the historical decomposition that focuses on the period of Abenomics reveals that anticipated fiscal policy shock positively contributes to consumption dynamics.
期刊介绍：
Started in 1950 by a group of leading Japanese economists under the title The Economic Studies Quarterly, the journal became the official publication of the Japanese Economic Association in 1959. As its successor, The Japanese Economic Review has become the Japanese counterpart of The American Economic Review, publishing substantial economic analysis of the highest quality across the whole field of economics from researchers both within and outside Japan. It also welcomes innovative and thought-provoking contributions with strong relevance to real economic issues, whether political, theoretical or policy-oriented.
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