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Fiscal Policy and US-Canadian Trade

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  • Gianluca Lagana

    ()
    (Ministry of Economics and Finance, Italy)

  • Pasquale Sgro

    ()
    (Deakin University)

Abstract

A factor-augmented vector autoregressive (FAVAR) model is applied to determine the effects of a rise in US government expenditure on the United States and Canadian economies. The results obtained reasonably characterize the effect of a rise in US government spending to the United States and Canadian economies emphasizing the role of the traded goods sector.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P168.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 2 ()
Pages: 1856-1868

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Handle: RePEc:ebl:ecbull:eb-10-00679

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Keywords: Factor Model; Principal Component; Government expenditure; VAR.;

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References

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  1. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo Group Munich.
  2. Gianluca Lagana & Andrew Mountford, 2005. "Measuring Monetary Policy In The Uk: A Factor-Augmented Vector Autoregression Model Approach," Manchester School, University of Manchester, vol. 73(s1), pages 77-98, 09.
  3. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
  4. Gianluca Lagana, 2009. "A structural factor-augmented vector error correction (SFAVEC) model approach: an application to the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1751-1756.
  5. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  6. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  7. Roel Beetsma & Massimo Giuliodori & Franc Klaassen, 2008. "The Effects of Public Spending Shocks on Trade Balances and Budget Deficits in the European Union," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 414-423, 04-05.
  8. Laganà, Gianluca & Sgro, Pasquale Michael, 2011. "A factor-augmented VAR approach: The effect of a rise in the US personal income tax rate on the US and Canada," Economic Modelling, Elsevier, vol. 28(3), pages 1163-1169, May.
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