Government spending multipliers in (un)certain times q

• 成果类型: Article
• 署名作者: Fritsche, Jan Philipp; Klein, Mathias; Rieth, Malte
• 署名单位: Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin; Sveriges Riksbank; Martin Luther University Halle Wittenberg
• 刊物名称: JOURNAL OF PUBLIC ECONOMICS
• ISSN/ISSBN: 0047-2727
• DOI: 10.1016/j.jpubeco.2021.104513
• 发表日期: 2021
• 关键词: Fiscal policy; Government spending multiplier; uncertainty; structural vector autoregressions; heteroskedasticity

摘要

We estimate the dynamic effects of government spending shocks, using time-varying volatility in US data modeled through a Markov switching process. We find that the average government spending multiplier is significantly and persistently above one, driven by a crowding-in of private consumption and nonresidential investment. We rationalize the results empirically through a contemporaneously counter cyclical response of government spending and an efficient weighting of observations inversely to their error variance. We then show that the multiplier is significantly smaller when volatility is high, consistent with theories predicting reduced effectiveness of fiscal interventions in uncertain times. (c) 2021 Elsevier B.V. All rights reserved.