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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. Journal of Monetary Economics, 90 . pp. 13-27. doi:10.1016/j.jmoneco.2017.06.002 ISSN 0304-3932.
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Official URL: http://dx.doi.org/10.1016/j.jmoneco.2017.06.002
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: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Economics | ||||||||
Journal or Publication Title: | Journal of Monetary Economics | ||||||||
Publisher: | Elsevier BV | ||||||||
ISSN: | 0304-3932 | ||||||||
Official Date: | October 2017 | ||||||||
Dates: |
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Volume: | 90 | ||||||||
Page Range: | pp. 13-27 | ||||||||
DOI: | 10.1016/j.jmoneco.2017.06.002 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 3 January 2018 | ||||||||
Date of first compliant Open Access: | 3 January 2018 |
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