Estimating Fiscal Multipliers: News from a Non‐linear World
用非线性VAR模型研究美国财政支出乘数是否具有逆周期性，发现衰退期乘数大于1但与扩张期差异不显著，仅在极端事件中非线性特征明显。
We estimate non-linear VARs to assess to what extent fiscal spending multipliers are countercyclical in the US. We deal with the issue of non-fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated fiscal shocks is shown to carry valuable information about future dynamics of public spending. Results based on generalised impulse responses suggest that fiscal spending multipliers in recessions are greater than one, but not statistically larger than those in expansions. However, non-linearities arise when focusing on 'extreme' events, that is, deep recessions versus strong expansionary periods.