Differences in measures of the fiscal multiplier and the reduced-form vector autoregression

Michael Donadelli, Adriana Grasso, Jean-Paul L’Huillier and Valentina Milano
Authors registered in the RePEc Author Service: Jean-Paul L'Huillier

Applied Economics Letters, 2016, vol. 23, issue 17, 1215-1218

Abstract: The literature has recently asked whether the effects of fiscal policy vary with the state of the economy (Christiano, Eichenbaum, and Rebelo 2011; Rendahl 2014; Auerbach and Gorodnichenko 2012). We study this question in the context of vector autoregression (VAR) estimation. We show formally that, if (asymptotically) the parameters of the reduced-form VAR differ, then the dynamic effects of fiscal policy differ as well, generically and for any set of identification assumptions. Thus, in theory, the econometrician can detect these differences (either across time or space) generically just by relying on reduced-form VAR estimation.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2016.1145342 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:apeclt:v:23:y:2016:i:17:p:1215-1218

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2016.1145342

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().