The Effects of Fiscal Policy Shocks: Evidence from a Bayesian SVAR Model With Uncertain Identifying Assumptions

Anna Sznajderska, Karol Szafranek and Alfred Haug

No 2024-102, KAE Working Papers from Warsaw School of Economics, Collegium of Economic Analysis

Abstract: We explore the effects of fiscal policy shocks on aggregate output and inflation. We use the novel Bayesian econometric methodology of Baumeister and Hamilton applied to the fiscal structural vector autoregressive model to evaluate key elasticities and fiscal multipliers using U.S. data from 1947Q1 to 2023Q4. In our baseline specification, the government spending multiplier is equal to approximately 1.1 and tax multiplier is approximately -1.4 after one year. The short-term output elasticity of government spending is slightly negative and the output elasticity of taxes is approximately equal to 2.6.

Keywords: Fiscal policy; structural VAR; Bayesian inference; impulse-response functions (search for similar items in EconPapers)
JEL-codes: C11 C32 E62 E63 H50 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2024-11
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https://hdl.handle.net/20.500.12182/1306 (application/pdf)

Related works:
Journal Article: The effects of fiscal policy shocks: evidence from a Bayesian SVAR model with uncertain identifying assumptions (2026)
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:kaewps:2024102

DOI: 10.33119/kaewps2024102

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