Tax shocks with high and low uncertainty
使用阈值VAR模型，研究税收冲击对经济的影响是否取决于不确定性水平，发现低不确定性时期减税效果更积极，高不确定性时期增税负面影响更大，并强调控制货币政策以避免遗漏变量偏误。
Summary We assess whether the effects of fiscal policy depend on the extent of uncertainty in the economy. Focusing on tax shocks, identified by the narrative series by Romer and Romer (American Economic Review, 2010, 100(3), 763‐801), and various measures of uncertainty, we use a Threshold VAR model to allow for dependence of the effects of the tax shocks on both the level of uncertainty and the sign of the shock. We find that the economy responds more positively to tax cuts during periods of low uncertainty, while, in response to tax increases, the response of main aggregates is more negative in more uncertain times. We argue that controlling for monetary policy in fiscal VARs is important to avoid omitted variable bias. We interpret our empirical evidence in light of existing theoretical contributions.