EconPapers    
Economics at your fingertips  
 

Asymmetric Fiscal Policy Shocks

Ioannis Pragidis (), Periklis Gogas (), Vasilios Plakandaras () and Theophilos Papadimitriou ()

No 8-2013, DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics

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 both a vector autoregressive and the novel support vector machines systems in order to extract the fiscal policy shocks series. The latter has never been used before in a similar macroeconomic setting. Within our research framework, in order to test the robustness of our results to alternative aggregate money supply definitions we use two alternative moentary aggregates. These are the commonly reported by central banks and policy makers simple sum monetary aggregates at the MZM level of aggregation and the alternative CFS Divisia MZM aggregate. From each of these four 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 policy shocks are next used to empirically examine their effects on the growth rate and the 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)
New Economics Papers: this item is included in nep-mac and nep-pbe
Date: 2013-12-09
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2365197 Full text (application/pdf)

Related works:
Working Paper: Asymmetric Fiscal Policy Shocks (2013) Downloads
Working Paper: Asymmetric Fiscal Policy Shocks (2013) Downloads
Working Paper: Asymmetric Fiscal Policy Shocks (2013) 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: https://EconPapers.repec.org/RePEc:ris:duthrp:2013_008

Access Statistics for this paper

More papers in DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics Department of Economics, University Campus, Komotini, 69100, Greece. Contact information at EDIRC.
Bibliographic data for series maintained by Periklis Gogas (). This e-mail address is bad, please contact .

 
Page updated 2019-10-11
Handle: RePEc:ris:duthrp:2013_008