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The dynamic effects of fiscal policy : a FAVAR approach

  • Jordan Roulleau-Pasdeloup

    (UP1 UFR02 - Université Paris 1, Panthéon-Sorbonne - UFR d'Économie - Université Paris I - Panthéon-Sorbonne - PRES HESAM)

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.

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Paper provided by HAL in its series Post-Print with number dumas-00650820.

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Date of creation: 05 Jul 2011
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Handle: RePEc:hal:journl:dumas-00650820
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  1. 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.
  2. Roberto Perotti, 2007. "In Search of the Transmission Mechanism of Fiscal Policy," NBER Working Papers 13143, National Bureau of Economic Research, Inc.
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