State-dependent fiscal multipliers with preferences over safe assets

• 成果类型: Article
• 署名作者: Rannenberg, Ansgar
• 署名单位: European Central Bank; National Bank of Belgium
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.08.002
• 发表日期: 2021
• 关键词: Fiscal multiplier of temporary and persistent expenditure changes; zero lower bound; Wealth in the utility function

摘要

I examine the effect of fiscal policy at the zero lower bound when households have preferences over safe assets (POSA) parameterized consistent with microeconomic evidence on intertemporal choices and the macroeconomic elasticity between US government debt supply and bond yields. POSA loosen the link between household consumption and permanent-income, and imply a wealth effect from government bonds. Therefore, the multiplier of a permanent expenditure change increases. I show that these conclusions carry over to an estimated DSGE model. POSA improves the empirical fit of the model if the dataset includes forward interest rates on top of fiscal and macroeconomic data. (C) 2020 Elsevier B.V. All rights reserved.