Economics at your fingertips  

A Narrative Approach to a Fiscal DSGE Model

Thorsten Drautzburg

No 791, 2014 Meeting Papers from Society for Economic Dynamics

Abstract: DSGE models are used for analyzing policy and the sources of business cycles. A competing approach uses VARs that are partially identified using, for example, narrative shock measures and are often viewed as imposing fewer restrictions on the data. Narrative shocks are identified non-structurally through information external to particular models. This uses non-structural narrative shock measures to inform the structural estimation of DSGE models. Since fiscal policy has received much recent attention but the foundations of the fiscal side of DSGE models are less well studied than their monetary building block, fiscal DSGE models are a particularly promising application. Preliminary results from a standard medium-scale DSGE model support this argument: Structurally identified monetary shocks line up well with narrative measures, whereas government spending shocks do not. Extending the model to include distortionary taxes and more general fiscal policy processes, I find that model implied labor tax shocks line up well with narrative tax shocks. Including different narrative shock measures affects parameter identification and implied measures such as fiscal multipliers.

Date: 2014
New Economics Papers: this item is included in nep-dge and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
Journal Article: A narrative approach to a fiscal DSGE model (2020) Downloads
Working Paper: A narrative approach to a fiscal DSGE model (2016) Downloads
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:

Access Statistics for this paper

More papers in 2014 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().

Page updated 2021-01-25
Handle: RePEc:red:sed014:791