Do fiscal spending news shocks generate financial spillovers?

Kian Ong

Economics Letters, 2018, vol. 164, issue C, 46-49

Abstract: This paper shows the US fiscal spending news shocks – identified using the Survey of Professional Forecasters – drive the Canadian long-term nominal interest rates. The news shocks explain about 10% of the Canadian long-term interest rate at business cycle frequencies.

Keywords: Government spending; Fiscal foresight; Fiscal spillovers; VAR analysis (search for similar items in EconPapers)
JEL-codes: C32 E32 E62 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:164:y:2018:i:c:p:46-49

DOI: 10.1016/j.econlet.2017.12.039

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