Gogas, Periklis and Pragidis, Ioannis (2013): Asymmetric Fiscal Policy Shocks.
Preview |
PDF
MPRA_paper_46680.pdf Download (802kB) | Preview |
Abstract
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observations over the period 1967:1 to 2011:4. In doing so, we use two alternative vector autoregressive systems in order to construct the fiscal policy shocks: one with the simple sum monetary aggregate MZM and one with the alternative CFS Divisia MZM aggregate. From each one of these systems we extracted four types of shocks: a negative and a positive government spending shock and a negative and a positive government revenue shock. These eight different types of unanticipated fiscal shocks were used next to empirically examine their effects on the growth rate and cyclical component of real private GNP in two sets of regressions: one that assumes only contemporaneous effects of the shocks on output and one that is augmented with four lags of each fiscal shock.
Item Type: | MPRA Paper |
---|---|
Original Title: | Asymmetric Fiscal Policy Shocks |
English Title: | Asymmetric Fiscal Policy Shocks |
Language: | English |
Keywords: | Fiscal Policy, Asymmetric Effects, VAR |
Subjects: | E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E62 - Fiscal Policy |
Item ID: | 46680 |
Depositing User: | Periklis Gogas |
Date Deposited: | 03 May 2013 15:00 |
Last Modified: | 29 Sep 2019 16:35 |
References: | Alesina, A., Ardagna, S., 2009. Large changes in Fiscal policy: Taxes versus Spending. NBER working Paper series. 15348. Alesina, A., Perotti, R., 1997. The welfare state and competitiveness. American Economic Review, 87 (5). Pp. 921-939 Barro, R., 1974. Are government Bonds net wealth? Journal of Political Economy, 82 (6). Pp. 1095-1117. Barro, R. and Redlick, C. 2009. Macroeconomic effects from government purchases and taxes. NBER Working Paper 15369. Baum A., and Koester G. 2011. The impact of fiscal policy on economic activity over the business cycle – evidence from a threshold VAR analysis. Deutsche Bank, Discussion Paper, series1: economic studies, No 03/2011. Bertola, G, Drazen, A., 1993. Trigger points and budget cuts: explaining the effects of fiscal austerity. American Economic Review, Vol. 83, pp. 11-26. Blanchard, O., 1990. Suggestions for a new set of fiscal indicators. OECD Economics Department, Working Paper. 79. Blanchard, O., Perotti, R., 2002. An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output. Quarterly Journal of Economics, 117 (4), 1329–68. Cogan, J., Cwik, T., Taylor, J., Wieland, V. 2009. New Keynesian versus old kenesian government spending multipliers. NBER Working Paper 14782. Cover, J. 1992. Asymmetric Effects of Positive and Negative Money Supply Shocks. Quarterly Journal of Economics, 107(4), 1261- 1282. Gali, J., Lopez-Salido, J. D. and Valles, J. 2007. Understanding the Effects of Government Spending on Consumption. Journal of the European Economic Association 5(1), pp. 227-270. Giavazzi, F. and Pagano, M., 1990. Can severe fiscal contractions be expansionary? Tales of two small European countries. NBER, Macro- Economics Annual 5, pp. 75-111. Kollias, C. and Palaiologou, S. 2006. Fiscal Policy in the European Union: Tax and spend, spend and tax, Fiscal Synchronization or Institutional separation?, Journal of Economic Studies, 33(2), pp.108-120. Leeper E., Walker T., and Shu-Chun Susan Yang, 2010. Government investment and fiscal stimulus in the short and long runs. Journal of Monetary Economics 57: 1000-1012. Mountford, A., and Uhlig, H., 2009. What are the effects of fiscal policy shocks? Journal of Applied Econometrics, 24: 960-992. Owoye, O. 1995. The causal relationship between taxes and expenditures in the G7 countries: cointegration and error correction models. Applied Economics Letters, Vol. 2, pp. 19-22. Payne, J.E. 2003. A survey of the international empirical evidence on the tax-spend debate. Public Finance Review, Vol. 31, pp. 302-24 Pereira, M. and Lopes, A. 2010. Time varying fiscal policy in U.S. Banko de Portugal, Working Paper 21/2010. Romer, C, RomerD. 2010. The macroeconomic effects of tax changes: Estimates based on new measure of fiscal shocks. American Economic Review 100: 763-801. Sims, C. A., 1980. Macroeconomics and Reality. Econometrica, 48, 1–48. Sims, C. A., Stock, J. and Watson W., M. 1990. Inference in Linear Time Series models with some unit roots. Econometrica, 58, 114-44. Tagkalakis A., 2008. The effects of fiscal policy on consumption in recessions and expansions. Journal of Public Economics 92(5-6):1486-1508. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/46680 |