Data di Pubblicazione:
2010
Citazione:
Forni, M. e L., Gambetti. "Fiscal Foresight and the Effects of Government Spending" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2010.
Abstract:
We study the effects of government spending by using a structural, large dimensional,
dynamic factor model. We find that the government spending shock is non-fundamental
for the variables commonly used in the structural VAR literature, so that its impulse
response functions cannot be consistently estimated by means of a VAR. Government
spending raises both consumption and investment, with no evidence of crowding out.
The impact multiplier is 1.7 and the long run multiplier is 0.6.
dynamic factor model. We find that the government spending shock is non-fundamental
for the variables commonly used in the structural VAR literature, so that its impulse
response functions cannot be consistently estimated by means of a VAR. Government
spending raises both consumption and investment, with no evidence of crowding out.
The impact multiplier is 1.7 and the long run multiplier is 0.6.
Tipologia CRIS:
Working paper
Keywords:
structural factor model, sign restrictions, fiscal policy, government spending
shock, fundamentalness, non-fundamentalness.
Elenco autori:
Forni, M.; Gambetti, L.
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