The effects of fiscal shocks in SVAR models: a graphical modelling approach
Fragetta, M. and Melina, Giovanni (2010) The effects of fiscal shocks in SVAR models: a graphical modelling approach. Working Paper. Birkbeck College, University of London, London, UK.
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Abstract
We apply graphical modelling theory to identify fiscal policy shocks in SVAR models of the US economy. Unlike other econometric approaches of which achieve identification by relying on potentially contentious a priori assumptions of graphical modelling is a data based tool. Our results are in line with Keynesian theoretical models, being also quantitatively similar to those obtained in the recent SVAR literature à la Blanchard and Perotti (2002), and contrast with neoclassical real business cycle predictions. Stability checks confirm that our findings are not driven by sample selection.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 1006 |
| Keyword(s) / Subject(s): | Fiscal policy, SVAR, graphical modelling |
| School: | School of Business, Economics & Informatics > Economics, Mathematics and Statistics School of Business, Economics & Informatics > Management |
| Depositing User: | Administrator |
| Date Deposited: | 21 Jun 2013 11:11 |
| Last Modified: | 13 Jan 2023 20:31 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/7549 |
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