We empirically explore the role of monetary and distribution shocks on semi-autonomous demand under a supermultiplier framework. We use quarterly data for the United States from 1968 to 2022 and apply a SVAR model to investigate the effect of changes in financial and distributive variables on autonomous expenditure. We find that: (i) the federal funds rate has a negative and statistically significant effect on autonomous expenditure; (ii) a positive shock in the wage share has a negative effect on non-revolving consumer credit and a transitory positive effect on induced consumption; (iii) a positive shock in aggregated autonomous demand has a positive, persistent, and significant effect on induced consumption and, output, as well as on the adjusted wage share; (iv) a positive shock in private residential investment has a positive, persistent and statistically significant effect on other autonomous components of demand and output; (v) while residential investment positively influences consumer credit and durable consumption, the inverse does not hold.
(2024). Monetary Policy, Income Distribution and Semi-Autonomous Demand in the US [journal article - articolo]. In METROECONOMICA. Retrieved from https://hdl.handle.net/10446/275889
Monetary Policy, Income Distribution and Semi-Autonomous Demand in the US
Barbieri Goes, Maria Cristina
2024-08-21
Abstract
We empirically explore the role of monetary and distribution shocks on semi-autonomous demand under a supermultiplier framework. We use quarterly data for the United States from 1968 to 2022 and apply a SVAR model to investigate the effect of changes in financial and distributive variables on autonomous expenditure. We find that: (i) the federal funds rate has a negative and statistically significant effect on autonomous expenditure; (ii) a positive shock in the wage share has a negative effect on non-revolving consumer credit and a transitory positive effect on induced consumption; (iii) a positive shock in aggregated autonomous demand has a positive, persistent, and significant effect on induced consumption and, output, as well as on the adjusted wage share; (iv) a positive shock in private residential investment has a positive, persistent and statistically significant effect on other autonomous components of demand and output; (v) while residential investment positively influences consumer credit and durable consumption, the inverse does not hold.File | Dimensione del file | Formato | |
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Avritzer_BarbieriGoes_MECA_2024.pdf
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Descrizione: "This is the peer reviewed version of the following article: Joana David Avritzer, Maria Cristina Barbieri Goes (2024), Monetary policy, income distribution and semi-autonomous demand in the US, in Metroeconomica, DOI 10.1111/meca.12479, which has been published in final form at https://doi.org/10.1111/meca.12479. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions."
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Metroeconomica - 2024 - Avritzer - Monetary policy income distribution and semi‐autonomous demand in the US.pdf
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