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International spillovers from U.S. fiscal policy shocks

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  • Nicar, Stephen

Abstract

I estimate the effect of U.S. government spending and tax shocks on Canada, Japan, and the U.K. for the period 1974 through 2007. Spending and tax shocks are identified using sign restrictions on the impulse responses from a vector autoregression (VAR). I find that while spillover effects of expansionary fiscal shocks are not uniform in direction or magnitude across countries, for Canada and Japan they result in economically significant GDP increases over some portion of the response horizon. For all three countries, government spending shocks generally have larger effects than net tax shocks. Altogether, the results support the idea that some countries may benefit significantly from expansionary U.S. fiscal policy.

Suggested Citation

  • Nicar, Stephen, 2014. "International spillovers from U.S. fiscal policy shocks," MPRA Paper 63214, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:63214
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    References listed on IDEAS

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    Cited by:

    1. Pär Stockhammar & Pär Österholm, 2017. "The Impact of US Uncertainty Shocks on Small Open Economies," Open Economies Review, Springer, vol. 28(2), pages 347-368, April.

    More about this item

    Keywords

    Fiscal policy; International Transmission; Spillovers; VAR models; Sign Restriction;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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