Do fiscal spending news shocks generate financial spillovers?

Kian Ong

doi:10.1016/j.econlet.2017.12.039

Do fiscal spending news shocks generate financial spillovers?

Kian Ong

Department of Finance, Accounting and Economics

Research output: Journal Publication › Article › peer-review

4 Citations (Scopus)

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.

Original language	English
Pages (from-to)	46-49
Number of pages	4
Journal	Economics Letters
Volume	164
DOIs	https://doi.org/10.1016/j.econlet.2017.12.039
Publication status	Published - Mar 2018

Keywords

Fiscal foresight
Fiscal spillovers
Government spending
VAR analysis

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.econlet.2017.12.039

Cite this

@article{6dfdfd05d0304ee0aec52ad15094f159,

title = "Do fiscal spending news shocks generate financial spillovers?",

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 = "Fiscal foresight, Fiscal spillovers, Government spending, VAR analysis",

author = "Kian Ong",

note = "Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",

year = "2018",

month = mar,

doi = "10.1016/j.econlet.2017.12.039",

language = "English",

volume = "164",

pages = "46--49",

journal = "Economics Letters",