Asymmetric Fiscal Policy Shocks

Periklis Gogas and Ioannis Pragidis ()

MPRA Paper from University Library of Munich, Germany

Abstract: We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observations over the period 1967:1 to 2011:4. In doing so, we use two alternative vector autoregressive systems in order to construct the fiscal policy shocks: one with the simple sum monetary aggregate MZM and one with the alternative CFS Divisia MZM aggregate. From each one of these systems we extracted four types of shocks: a negative and a positive government spending shock and a negative and a positive government revenue shock. These eight different types of unanticipated fiscal shocks were used next to empirically examine their effects on the growth rate and cyclical component of real private GNP in two sets of regressions: one that assumes only contemporaneous effects of the shocks on output and one that is augmented with four lags of each fiscal shock.

Keywords: Fiscal Policy; Asymmetric Effects; VAR (search for similar items in EconPapers)
JEL-codes: E62 (search for similar items in EconPapers)
Date: 2013-01
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https://mpra.ub.uni-muenchen.de/46680/1/MPRA_paper_46680.pdf original version (application/pdf)

Related works:
Working Paper: Asymmetric Fiscal Policy Shocks (2013)
Working Paper: Asymmetric Fiscal Policy Shocks (2013)
Working Paper: Asymmetric Fiscal Policy Shocks (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:46680

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