Using Stock Returns to Identify Government Spending Shocks
成果类型：
Article
署名作者：
Fisher, Jonas D. M.; Peters, Ryan
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - Chicago
刊物名称：
ECONOMIC JOURNAL
ISSN/ISSBN：
0013-0133
DOI：
10.1111/j.1468-0297.2010.02355.x
发表日期：
2010
页码：
414-436
关键词：
摘要：
This article explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. We find that positive government spending shocks are associated with increases in output, hours and consumption. Real wages initially decline after a government spending shock and then rise after a year. We estimate the government spending multiplier associated with increases in military spending to be about 1.5 over a horizon of 5 years.