Standard

Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. / Karamysheva, Madina; Skrobotov, Anton.

в: Journal of Economic Dynamics and Control, Том 138, 104358, 01.05.2022.

Результаты исследований: Научные публикации в периодических изданияхстатьяРецензирование

Harvard

APA

Vancouver

Author

Karamysheva, Madina ; Skrobotov, Anton. / Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. в: Journal of Economic Dynamics and Control. 2022 ; Том 138.

BibTeX

@article{f50023809f674d7bb821f61a6cbcb01b,
title = "Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations",
abstract = "This paper is devoted to fiscal shock identification based on the assumption of non-Gaussianity of the errors, which can be easily tested. We use additional co-kurtosis conditions in GMM estimation of the AB-model to estimate the dynamic effects of fiscal shocks and find fiscal multipliers in the U.S. economy. Our approach results in higher tax multipliers on average relative to Blanchard and Perotti (2002) and Leeper et al. (2013). Testing the restrictions, we are not able to reject them in the Blanchard and Perotti (2002) model. Once we control for fiscal foresight, we can reject restrictions both individually and altogether. Finally, comparing elasticities of tax revenue to output to elasticities found in the literature, rejecting most of them, we are not able to reject the one of Caldara and Kamps (2017).",
keywords = "Fiscal multipliers, GMM, Identification, Non-Gaussian time series, SVAR, STRUCTURAL VECTOR AUTOREGRESSIONS, INFORMATION, MULTIPLIERS, INFERENCE, GENERALIZED-METHOD, POLICY, TAX CHANGES, AUSTERITY",
author = "Madina Karamysheva and Anton Skrobotov",
note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",
year = "2022",
month = may,
day = "1",
doi = "10.1016/j.jedc.2022.104358",
language = "English",
volume = "138",
journal = "Journal of Economic Dynamics and Control",
issn = "0165-1889",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations

AU - Karamysheva, Madina

AU - Skrobotov, Anton

N1 - Publisher Copyright: © 2022 Elsevier B.V.

PY - 2022/5/1

Y1 - 2022/5/1

N2 - This paper is devoted to fiscal shock identification based on the assumption of non-Gaussianity of the errors, which can be easily tested. We use additional co-kurtosis conditions in GMM estimation of the AB-model to estimate the dynamic effects of fiscal shocks and find fiscal multipliers in the U.S. economy. Our approach results in higher tax multipliers on average relative to Blanchard and Perotti (2002) and Leeper et al. (2013). Testing the restrictions, we are not able to reject them in the Blanchard and Perotti (2002) model. Once we control for fiscal foresight, we can reject restrictions both individually and altogether. Finally, comparing elasticities of tax revenue to output to elasticities found in the literature, rejecting most of them, we are not able to reject the one of Caldara and Kamps (2017).

AB - This paper is devoted to fiscal shock identification based on the assumption of non-Gaussianity of the errors, which can be easily tested. We use additional co-kurtosis conditions in GMM estimation of the AB-model to estimate the dynamic effects of fiscal shocks and find fiscal multipliers in the U.S. economy. Our approach results in higher tax multipliers on average relative to Blanchard and Perotti (2002) and Leeper et al. (2013). Testing the restrictions, we are not able to reject them in the Blanchard and Perotti (2002) model. Once we control for fiscal foresight, we can reject restrictions both individually and altogether. Finally, comparing elasticities of tax revenue to output to elasticities found in the literature, rejecting most of them, we are not able to reject the one of Caldara and Kamps (2017).

KW - Fiscal multipliers

KW - GMM

KW - Identification

KW - Non-Gaussian time series

KW - SVAR

KW - STRUCTURAL VECTOR AUTOREGRESSIONS

KW - INFORMATION

KW - MULTIPLIERS

KW - INFERENCE

KW - GENERALIZED-METHOD

KW - POLICY

KW - TAX CHANGES

KW - AUSTERITY

UR - http://www.scopus.com/inward/record.url?scp=85127249530&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/d1b6fdf2-b5d9-32eb-a6cc-658857e83672/

U2 - 10.1016/j.jedc.2022.104358

DO - 10.1016/j.jedc.2022.104358

M3 - Article

AN - SCOPUS:85127249530

VL - 138

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

SN - 0165-1889

M1 - 104358

ER -

ID: 94448937