The Dynamic Effects of Fiscal Policy Shocks in Pakistan

Samreen Saba, Muhammad Saqib and Nadeem Iqbal

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the dynamic effects of fiscal policy shocks in Pakistan by using structural vector auto-regressive (SVAR) model for annual time series data from 1972 to 2014. To identify the effects of fiscal shocks on macro economy, four different identification approaches has been used i.e. Recursive approach, Blanchard and Perotti approach, Sign Restriction and Event Study approach for two different lags. Both sets of impulse responses gives the same results and support Mountford and Uhlig (2005) that different lag order has no effects on the whole results. While the impulse responses of all identification approaches give different results criticized Caldara and Kamps (2006) that different identification methods given the same results. The most common results provided both government expenditure and revenue shocks showed that an expansionary fiscal policy increased output only for short and medium term at the cost of high prices and have no significant effects in the long run.

Keywords: Fiscal Policy; Dynamic Effects; SVAR; Recursive; Blanchard and Perotti; Sign Restriction and Event Study approach (search for similar items in EconPapers)
JEL-codes: E12 E13 E58 E62 (search for similar items in EconPapers)
Date: 2015-07-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/94155/1/MPRA_paper_94155.pdf original version (application/pdf)

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:pra:mprapa:94155

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().