This article studies the interplay of fiscal policy and asset price returns of the United States in a time-varying parameter vector autoregressive (VAR) model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy on asset returns and asset returns on fiscal policy. Distinguishing between low-volatility (bull market) and high-volatility (bear market) regimes together with a time-varying parameter VAR model enables us to isolate the different sizes and signs of responses to shocks during different time periods. The results indicate that increases in the primary surplus-to-gross-domestic-product ratio decrease house returns over the entire sample and at each impulse horizon. Unlike the house return responses, stock returns only decrease in the first year after the fiscal shock but then increase for the following eight years. Furthermore, the findings show that asset return movements affect fiscal policy, whereby fiscal policy responds more to equity returns than to house returns. The response of fiscal policy to asset returns proves relatively stable and constant over time while controlling for various asset return regimes. Asset returns respond uniformly to fiscal policy shocks since the 1900s.

中文翻译：

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美国财政政策与资产价格之间的时间序列联系

本文在时变参数向量自回归 (VAR) 模型中研究了美国财政政策和资产价格回报的相互作用。我们使用 1890 年至 2013 年的年度数据，研究动态冲击对财政政策对资产回报和资产回报对财政政策的影响。区分低波动率（牛市）和高波动率（熊市）制度以及时变参数 VAR 模型使我们能够隔离不同时间段内对冲击的不同大小和反应迹象。结果表明，初级剩余与国内生产总值之比的增加会降低整个样本和每个脉冲范围内的房屋回报。与房屋退货响应不同，股票回报仅在财政冲击后的第一年下降，但在接下来的八年中上升。此外，研究结果表明，资产收益变动会影响财政政策，即财政政策对股票收益的反应比对房屋收益的反应更大。在控制各种资产回报制度的同时，财政政策对资产回报的反应证明随着时间的推移相对稳定和恒定。自 1900 年代以来，资产回报对财政政策冲击的反应一致。