Riassunto analitico
We investigated whether government spending effects can change depending on the state of the economy. We used an innovative econometric approach which differs from what is presented in the leading contributions on the topic: Auerbach-Gorodnichenko (2012) and Ramey-Zubairy(2018). Hence, adapting to our analysis the model used in the monetary policy investigation of Debortoli et al. (2020), we estimated a non-linear VAR to obtain state dependent impulse response functions. Unlike Auerbach-Gorodnichenko (2013) where a surprise shock is identified trough Blanchard-Perotti (2002) identification scheme, we instead focused on the "aniticipated" fiscal policy shock by exploiting Survey of Professional Forecasters data series. Therefore, following Forni-Gambetti (2016) we derived a variable reflecting agents information about future changes in government spending to identify a "news shock". However, the results are in line with Auerbach and Gorodnichenko evidences. While the identified fiscal foresight shock has expansionary effects during recessions, it has small (or even negative) effects during periods of high GDP growth.
|
Abstract
We investigated whether government spending effects can change depending on the state of the economy. We used an innovative econometric approach which differs from what is presented in the leading contributions on the topic: Auerbach-Gorodnichenko (2012) and Ramey-Zubairy(2018). Hence, adapting to our analysis the model used in the monetary policy investigation of Debortoli et al. (2020), we estimated a non-linear VAR to obtain state dependent impulse response functions. Unlike Auerbach-Gorodnichenko (2013) where a surprise shock is identified trough Blanchard-Perotti (2002) identification scheme, we instead focused on the "aniticipated" fiscal policy shock by exploiting Survey of Professional Forecasters data series. Therefore, following Forni-Gambetti (2016) we derived a variable reflecting agents information about future changes in government spending to identify a "news shock". However, the results are in line with Auerbach and Gorodnichenko evidences. While the identified fiscal foresight shock has expansionary effects during recessions, it has small (or even negative) effects during periods of high GDP growth.
|
