Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis

Ansgar Belke and Pascal Goemans

No 826, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: We investigate whether the macroeconomic effects of government spending shocks vary with the level of uncertainty. Using postwar US data and a Self-Exciting Interacted VAR (SEIVAR) model, we find that fiscal spending has positive output effects in tranquil times but is contractionary during uncertain times. The endogenous reaction of macroeconomic uncertainty plays an important role in explaining the non-linear impact of government spending. In contrast to other types of government spending, research and development expenditures reduce uncertainty and have an expansionary effect on output during uncertain times.

Keywords: Government spending shocks; uncertainty; non-linear structural vector autoregressions; interacted VAR; generalized impulse response functions; endogenous uncertainty (search for similar items in EconPapers)
JEL-codes: C32 E32 E62 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/206398/1/1680877267.pdf (application/pdf)

Related works:
Journal Article: Uncertainty and nonlinear macroeconomic effects of fiscal policy in the US: a SEIVAR-based analysis (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwirep:826

DOI: 10.4419/86788959

Access Statistics for this paper

More papers in Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).