Pereira, Manuel C (2009): A new measure of fiscal shocks based on budget forecasts and its implications.
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This paper develops a new measure of US fiscal policy shocks that intends to avoid the anticipation problem affecting conventional measures, being also arguably free from endogeneity. The shocks are intended to capture changes to the component of anticipated fiscal policy that is exogenous to economic developments. Key economic variables such as output and interest rates respond quickly and significantly to a realization of the estimated shock and, in the first part of the sample, 1969-1988, in a way consistent with the Keynesian prior. In contrast, over the period 1989-2008 the effects are at odds with that prior, with fiscal loosening producing contractionary impacts.
|Item Type:||MPRA Paper|
|Original Title:||A new measure of fiscal shocks based on budget forecasts and its implications|
|Keywords:||fiscal policy, budget forecasts, macroeconomic stabilization, interest rate determination|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook > E62 - Fiscal Policy
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
|Depositing User:||Manuel Coutinho Pereira|
|Date Deposited:||23. Sep 2009 11:41|
|Last Modified:||20. Feb 2013 15:36|
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