Using Stock Returns to Identify Government Spending Shocks
提出用美国大型军事承包商累计超额收益率的统计创新来识别政府支出冲击，发现正向冲击会提高产出、工时和消费，实际工资先降后升，5年内军事支出乘数约1.5。
This article explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. We find that positive government spending shocks are associated with increases in output, hours and consumption. Real wages initially decline after a government spending shock and then rise after a year. We estimate the government spending multiplier associated with increases in military spending to be about 1.5 over a horizon of 5 years.