Temporal aggregation and SVAR identification, with an application to fiscal policy

DOI10.1016/J.ECONLET.2009.08.010zbMATH Open1181.62172OpenAlexW2096394051MaRDI QIDQ1046293FDOQ1046293

Authors: Massimo Giuliodori, Roel M. W. J. Beetsma, Franc J. G. M. Klaassen 

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/temporal-aggregation-and-svar-identification-with-an-application-to-fiscal-policy(3aa35a94-9660-4772-8ed9-9582b5933dcd).html

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zbMATH Keywords

identificationhigh frequencylow frequencyfiscal and monetary policystructural vector autoregression (SVAR)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Cites Work

• Prediction with a Generalized Cost of Error Function
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output

Cited In (5)

• Faster fiscal stimulus and a higher government spending multiplier in China: mixed-frequency identification with SVAR
• Interpreting the results of empirical analyses of intertemporal allocation: An identification problem
• Identifying shocks via time-varying volatility
• Exchange rate regimes and fiscal multipliers
• The analytics of SVARs: a unified framework to measure fiscal multipliers

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