Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?*
通过灵活的代理变量结构向量自回归模型估算美国政府支出和税收乘数，发现支出乘数稳健大于1，但税收乘数对工具组合敏感，关键取决于全要素生产率与税收冲击的正交性假设。
Abstract We estimate government spending and tax multipliers in the United States via a flexible proxy‐SVAR model, where identification is achieved by combining fiscal and non‐fiscal instruments with additional parametric restrictions. We find that, while the spending multiplier is robustly estimated to be larger than one across different models, the estimate of the tax multiplier is sensitive to the combination of instruments that we use. We unveil that the key factor behind these heterogeneous estimates is the assumption of orthogonality between total factor productivity (our main non‐fiscal proxy) and the tax shock. If this assumption is imposed, the tax multiplier is around one. If it is not imposed, the tax multiplier is three times as large. Our results point to the need of accounting for the large uncertainty surrounding the tax multiplier for the design of optimal fiscal policies.