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An Empirical Investigation of US Fiscal Expenditures and Macroeconomic Outcomes

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  • Yunus Aksoy

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Giovanni Melina

    (Department of Economics, Mathematics & Statistics, Birkbeck
    University of Surrey)

Abstract

In addition to containing stable information to explain inflation, state-local expenditures have also a larger share of the forecast error variance of US inflation than the Federal funds rate. Non-defense federal expenditures are useful in predicting real output variations and, starting from the early 1980s, present also a larger share of the forecast error variance of US real output than the Federal funds rate.

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File URL: http://www.ems.bbk.ac.uk/research/wp/2011/PDFs/BWPEF1105.pdf
File Function: First version, 2011
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Bibliographic Info

Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 1105.

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Date of creation: Sep 2011
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Handle: RePEc:bbk:bbkefp:1105

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Keywords: Information value; state-local expenditures; forecast error variance decomposition;

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  1. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
  2. Friedman, Benjamin M & Kuttner, Kenneth N, 1992. "Money, Income, Prices, and Interest Rates," American Economic Review, American Economic Association, vol. 82(3), pages 472-92, June.
  3. Sorensen, Bent E. & Wu, Lisa & Yosha, Oved, 2001. "Output fluctuations and fiscal policy: U.S. state and local governments 1978-1994," European Economic Review, Elsevier, vol. 45(7), pages 1271-1310.
  4. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
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