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- Publisher Website: 10.1016/S0304-3932(01)00081-2
- Scopus: eid_2-s2.0-0345857980
- WOS: WOS:000171166600004
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Article: Fiscal shocks and fiscal risk management
Title | Fiscal shocks and fiscal risk management |
---|---|
Authors | |
Keywords | Asset pricing Fiscal policy Risk management Sustainability |
Issue Date | 2001 |
Citation | Journal of Monetary Economics, 2001, v. 48, n. 2, p. 309-338 How to Cite? |
Abstract | We use the returns on a set of international financial securities to identify exogenous shocks to the Canadian federal surplus. We find that a large portion of the variation in the surplus can be replicated by a linear combination of these returns and that the recent rise in debt resulted from adverse shocks and a delayed response by the government. We develop a framework to evaluate the gains from a risk management strategy, using these securities to hedge against shocks. We find that hedging generates significant welfare gains by enhancing the sustainability of fiscal policy and diversifying the risk associated with tax changes. © 2001 Published by Elsevier Science B.V. |
Persistent Identifier | http://hdl.handle.net/10722/315214 |
ISSN | 2023 Impact Factor: 4.3 2023 SCImago Journal Rankings: 6.564 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lloyd-Ellis, Huw | - |
dc.contributor.author | Zhu, Xiaodong | - |
dc.date.accessioned | 2022-08-05T10:18:04Z | - |
dc.date.available | 2022-08-05T10:18:04Z | - |
dc.date.issued | 2001 | - |
dc.identifier.citation | Journal of Monetary Economics, 2001, v. 48, n. 2, p. 309-338 | - |
dc.identifier.issn | 0304-3932 | - |
dc.identifier.uri | http://hdl.handle.net/10722/315214 | - |
dc.description.abstract | We use the returns on a set of international financial securities to identify exogenous shocks to the Canadian federal surplus. We find that a large portion of the variation in the surplus can be replicated by a linear combination of these returns and that the recent rise in debt resulted from adverse shocks and a delayed response by the government. We develop a framework to evaluate the gains from a risk management strategy, using these securities to hedge against shocks. We find that hedging generates significant welfare gains by enhancing the sustainability of fiscal policy and diversifying the risk associated with tax changes. © 2001 Published by Elsevier Science B.V. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Monetary Economics | - |
dc.subject | Asset pricing | - |
dc.subject | Fiscal policy | - |
dc.subject | Risk management | - |
dc.subject | Sustainability | - |
dc.title | Fiscal shocks and fiscal risk management | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/S0304-3932(01)00081-2 | - |
dc.identifier.scopus | eid_2-s2.0-0345857980 | - |
dc.identifier.volume | 48 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 309 | - |
dc.identifier.epage | 338 | - |
dc.identifier.isi | WOS:000171166600004 | - |