Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

Aye G. C. , Balcilar M., Gupta R., Jooste C., Miller S. M. , Ozdemir Z. A.

LANGUAGE TESTING, cilt.31, sa.3, ss.511-531, 2014 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 31 Konu: 3
  • Basım Tarihi: 2014
  • Doi Numarası: 10.1177/1091142113501713
  • Sayfa Sayıları: ss.511-531


This study assesses how fiscal policy affects the dynamics of asset markets, using Bayesian vector autoregressive models. We use sign restrictions to identify government revenue and government spending shocks, while controlling for generic business cycle and monetary policy shocks. Using South African quarterly data from 1966: Q1 to 2011: Q2, we find that fiscal spending shocks affect stock prices more than house prices. Both spending and revenue shocks affect stock prices whereas only revenue shocks affect house prices.