Identifying government spending shocks and multipliers in Korea

Eun Kyung Lee and Kwangyong Park

Journal of Asian Economics, 2021, vol. 76, issue C

Abstract: We construct a government spending news series in Korea based on Fisher and Peters (2010) by exploiting a market-weighted sum of excess stock returns of military contractors in Korea. We then use this military spending news series and estimate a structural VAR model to evaluate the effects of government spending. As a result, GDP and government spending show statistically significant responses to military spending news shocks. The accumulated government spending multiplier peaks after four quarters, and the five-year cumulative multiplier is calculated as 1.27. For a robustness check, different types of VAR models are tested and results are qualitatively similar.

Keywords: Fiscal policy; Multiplier (search for similar items in EconPapers)
JEL-codes: C32 E62 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Working Paper: Identifying Government Spending Shocks and Multipliers in Korea (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000956

DOI: 10.1016/j.asieco.2021.101366

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