Estimating fiscal multipliers: evidence from a nonlinear world

Giovanni Caggiano, Efrem Castelnuovo, Valentina Colombo and Gabriela Nodari

No 179, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: We estimate nonlinear VARs to assess to what extent fiscal spending multipliers are countercyclical in the United States. We deal with the issue of nonfundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated fiscal shocks is shown to carry valuable information of future dynamics of public spending. Results based on generalized impulse responses suggest that fiscal spending multipliers in recessions are greater than one, but not statistically larger than in expansions. However, nonlinearities arise when focusing on deep recessions vs. strong expansionary periods.

Keywords: Fiscal news; Fiscal foresight; Fiscal spending multipliers; Smooth Transition Vector-AutoRegressions. (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2014-04
New Economics Papers: this item is included in nep-mac and nep-pbe
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Citations: View citations in EconPapers (53)

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Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0179

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