Estimating nonlinear effects of fiscal policy using quantile regression methods

Roland Winkler () and Ludger Linnemann

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: We use quantile regression methods to estimate the effects of government spending shocks on output and unemployment rates. This allows to uncover nonlinear effects of fiscal policy by letting the parameters of either vector autoregressive models or local projection regressions vary across the conditional distribution of macroeconomic activity. In quarterly US data, we find that fiscal output multipliers are notably larger for lower quantiles of the conditional distribution of GDP deviations from trend. Conversely, higher government spending appears to lower the rate of unemployment significantly only at its highest deciles.

JEL-codes: C32 E32 E62 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Estimating nonlinear effects of fiscal policy using quantile regression methods (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc15:113164

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