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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 изданиях › статья › Рецензирование
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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