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Government purchases reloaded : informational insufficiency and heterogeneity in fiscal VARs
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Ellahie , Atif and Ricco, Giovanni (2017) Government purchases reloaded : informational insufficiency and heterogeneity in fiscal VARs. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1138).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
Using a large Bayesian VAR, we approximate the flow of information received by economic agents to investigate the effects of changes to government purchases. We document robust evidence that informational insufficiency in conventional models explains inconsistent results across samples and commonly employed identifications in recursive Structural VARs and Expectational VARs. Furthermore, we report heterogeneous effects of components of government purchases. While aggregate government purchases do not appear to produce strong stimulative effects with output multiplier around 0.7, government investment components have multipliers well above unity. State and local consumption, which captures investment in education and health, elicits a strong response.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Econometric models, Public investments, Global Financial Crisis, 2008-2009 | ||||
Series Name: | Warwick economics research papers series (WERPS) | ||||
Publisher: | University of Warwick. Department of Economics | ||||
Place of Publication: | Coventry | ||||
ISSN: | 0083-7350 | ||||
Official Date: | May 2017 | ||||
Dates: |
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Number: | 1138 | ||||
Number of Pages: | 35 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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