Mumtaz, Haroon; Theodoridis, Konstantinos - 2017
This paper uses a range of structural VARs to show that the response of US stock prices to fiscal shocks changed in … 1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative …