The dynamic effects of fiscal policy : a FAVAR approach
We implement a recently developed econometric model, the Factor Augmented VAR (FAVAR), to investigate the dynamic effects of government spending on key macroeconomic variables. In line with existing literature, we find that a government spending shock has positive effects on consumption and output. By splitting the sample in a pre-and post- Volcker period, we find that the positive effects of government spending on consumption and output over the whole sample are largely due to the first part of the sample.
|Date of creation:||05 Jul 2011|
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- Andrew Mountford & Harald Uhlig, 2005.
"What are the Effects of Fiscal Policy Shocks?,"
SFB 649 Discussion Papers
SFB649DP2005-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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- Andrew Mountford & Harald Uhlig, 2008. "What are the Effects of Fiscal Policy Shocks?," NBER Working Papers 14551, National Bureau of Economic Research, Inc.
- Mountford, A.W. & Uhlig, H.F.H.V.S., 2002. "What are the Effects of Fiscal Policy Shocks?," Discussion Paper 2002-31, Tilburg University, Center for Economic Research.
- Roberto Perotti, 2007.
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NBER Working Papers
13143, National Bureau of Economic Research, Inc.
- Roberto Perotti, 2008. "In Search of the Transmission Mechanism of Fiscal Policy," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 169-226 National Bureau of Economic Research, Inc.
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