The Effects of Anticipated Fiscal Policy Shock on
Macroeconomic Dynamics in Japan

Hiroshi Morita

January 2012
(Revised: November 2013)


This study investigates the effect of fiscal policy on macroeconomic dynamics in Japan, focusing especially on the effects of anticipated fiscal policy shocks and the recent policies of Abenomics. We identify an anticipated fiscal policy shock by combining excess stock returns for the construction industry and the robust sign-restricted VAR, based on the theoretical model. The primary result is that the dynamics of consumption are explained by the anticipated fiscal policy shock. Further, the results of a historical decomposition focused on the period of Abenomics also reveals that anticipated fiscal shocks positively contribute to the dynamics of consumption.

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