The Analytics of SVARs: A Unified Framework to Measure Fiscal Multipliers

• 成果类型: Article
• 署名作者: Caldara, Dario; Kamps, Christophe
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; European Central Bank
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdx030
• 发表日期: 2017
• 页码: 1015-1040
• 关键词: structural vector autoregressions; monetary-policy; Tax changes; shocks; identification

摘要

Do tax cuts and spending increases stimulate output? Studies that identify fiscal shocks using structural vector autoregressions (SVAR) have reached different conclusions. In this article, we show analytically that this lack of consensus reflects different assumptions on the fiscal rules that-by relating tax and spending policies to macroeconomic conditions-determine the identification of fiscal shocks and the associated fiscal multipliers. We then propose a new identification strategy based on a proxy SVAR that uses non-fiscal instruments to directly estimate the parameters of the fiscal rules. We find that spending increases stimulate output more than tax cuts..