Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data
利用美国州级数据，在非线性面板VAR模型中估计扩张期与衰退期政府支出冲击的效应，发现平均而言衰退期乘数更大，且金融摩擦高的州非线性效应更显著。
Summary This paper uses state‐level data to estimate the effect of government spending shocks during expansions and recessions. By employing a mixed‐frequency framework, we are able to include a long span of annual state‐level government spending data in our nonlinear quarterly panel VAR model. We find evidence that for the average state the fiscal multiplier is larger during recessions. However, there is substantial heterogeneity across the cross‐section. The degree of nonlinearity in the effect of spending shocks is larger in states that are subject to a higher degree of financial frictions. In contrast, states with a prevalence of manufacturing, mining and agricultural industries tend to have multipliers that are more similar across business cycle phases.