【主题】Government Spending, Monetary Policy and Asset Prices
【报告人】李戎（中国人民大学财政金融学院副教授）
【时间】12月7日（星期一）13:30-15:00
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】We test the effects of government spending on private consumption using stock markets data. We illustrate the link between government spending and asset prices through the impacts of fiscal policies on private consumption. Our analysis reveals that an expansionary government spending shock carries different prices of risk for asset valuations when cooperating with different monetary policies. The empirical results find that a government spending shock carries a negative premium when the zero lower bound of monetary policy is binding, while show a puzzling hump-shape government spending risk premium during the normal time. In addition, standard risk factors, macro uncertainty, and other firm characteristics do not account for the differential pattern in returns across different combinations of fiscal and monetary policies. During the ZLB period, firms with high exposure to government spending shock significantly under-perform firms with low exposure, by about 10% per annum.
