Estimating Fiscal Multipliers:News From a Nonlinear World

Giovanni Caggiano, Efrem Castelnuovo, Valentina Colombo and Gabriela Nodari

Department of Economics - Working Papers Series from The University of Melbourne

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

Keywords: Fiscal news; Fiscal foresight; Fiscal spending multiplier; Smooth Transition Vector-AutoRegressions; Extreme events (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Pages: 69 pages
Date: 2015-03
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (103)

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Related works:
Journal Article: Estimating Fiscal Multipliers: News From A Non‐linear World (2015)
Working Paper: Estimating Fiscal Multipliers: News from a Nonlinear World (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:1196

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