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

DOI10.1016/J.ECONLET.2009.08.010MaRDI QIDQ1046293zbMATHOpenAlexFDO

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

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)

Recommendations

• Identifying shocks via time-varying volatility
• The analytics of SVARs: a unified framework to measure fiscal multipliers
• Structural vector autoregressions: theory of identification and algorithms for inference
• Identification and estimation of non-Gaussian structural vector autoregressions
• Inference for VARs identified with sign restrictions

Cites work

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

Cited in

(5)

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

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