A New Approach to Fiscal Multipliers: Time Variation and High Frequency Shocks

Valeria Gargiulo, Atsushi Inoue and Barbara Rossi

No 20670, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper makes two main contributions to the literature. The first contribution is to propose a time-varying panel local projections estimator. The second contribution is to construct a new dataset of county-level government spending shocks in US data, available at several frequencies, including monthly, quarterly, and yearly frequencies at the most disaggregated county-level data, as well as daily frequencies at the aggregate national level. We use the proposed panel local projection estimator as well as the new dataset to shed light on the time-varying effects of fiscal policy shocks at a very disaggregated level.

Keywords: Instability (search for similar items in EconPapers)
JEL-codes: C22 C26 C32 C36 C53 (search for similar items in EconPapers)
Date: 2025-09
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