Fiscal shock identification by means of independent components in a Threshold VAR setting

Fortunato, Andrés; Herwartz, Helmut

Keywords: Threshold vector autoregressions, generalized impulse response, independent components, fiscal multiplier

Abstract

In studying the economic cycle dependency of fiscal multipliers in Chile, we implement an independent component analysis for structural shock identification within a non-linear vector autoregressive setting with generalized impulse response functions. Thereby we relax more restrictive assumptions adopted in previous studies, namely the a-priori assumption of a recursive model structure and the use of linear impulse response functions. As a result, we cannot fully confirm core insights from more restrictive structural models: we find no significant differences in neither government spending nor government revenues multipliers when comparing different states of the economy. Moreover, our estimates imply that fiscal multipliers in Chile do not differ significantly from zero.

Más información

Título de la Revista: LATIN AMERICAN ECONOMIC REVIEW
Volumen: 32
Fecha de publicación: 2023
Página de inicio: 1
Página final: 21
Idioma: Inglés
URL: https://doi.org/10.60758/laer.v32.130
DOI:

10.47872/laer.v32.130

Notas: Scopus