IDENTIFYING GOVERNMENT SPENDING SHOCKS: IT'S ALL IN THE TIMING

• 成果类型: Article
• 署名作者: Ramey, Valerie A.
• 署名单位: University of California System; University of California San Diego; National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjq008
• 发表日期: 2011
• 页码: 1-50
• 关键词: world-war-ii; Fiscal shocks; UNITED-STATES; Tax rates; POLICY; returns

摘要

Standard vector autoregression (VAR) identification methods find that government spending raises consumption and real wages; the Ramey-Shapiro narrative approach finds the opposite. I show that a key difference in the approaches is the timing. Both professional forecasts and the narrative approach shocks Granger-cause the VAR shocks, implying that these shocks are missing the timing of the news. Motivated by the importance of measuring anticipations, I use a narrative method to construct richer government spending news variables from 1939 to 2008. The implied government spending multipliers range from 0.6 to 1.2. JEL Codes: E62, N42.