Replication data for: Measuring Tax Multipliers: The Narrative Method in Fiscal VARs
Principal Investigator(s): View help for Principal Investigator(s) Carlo Favero; Francesco Giavazzi
Version: View help for Version V1
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data | 10/26/2021 11:45:AM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/13/2019 03:10:AM |
Project Citation:
Favero, Carlo, and Giavazzi, Francesco. Replication data for: Measuring Tax Multipliers: The Narrative Method in Fiscal VARs. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-13. https://doi.org/10.3886/E114786V1
Project Description
Summary:
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This paper argues in favor of empirical models built by including in fiscal VAR models structural shocks identified via the narrative method. We first show that "narrative" shocks are orthogonal to the relevant information set a fiscal VAR. We then derive impulse
responses to these shocks. The use of narrative shocks does not require the inversion of the moving-average representation of a VAR for the identification of the relevant shocks. Therefore, within this framework, fiscal multipliers can be identified and estimated even when, in the presence of "fiscal foresight," the MA representation of the VARs is not invertible. (JEL C32, E62, H20, H62, H63)
Scope of Project
Subject Terms:
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macroeconomic time series;
narrative fiscal shocks
JEL Classification:
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C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E62 Fiscal Policy
H20 Taxation, Subsidies, and Revenue: General
H62 National Deficit; Surplus
H63 National Debt; Debt Management; Sovereign Debt
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E62 Fiscal Policy
H20 Taxation, Subsidies, and Revenue: General
H62 National Deficit; Surplus
H63 National Debt; Debt Management; Sovereign Debt
Geographic Coverage:
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United States
Time Period(s):
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1/1947 – 1/2010
Data Type(s):
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aggregate data
Collection Notes:
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the exogenous narrativeli identified fiscal shocks are the romer&romer database
Methodology
Data Source:
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US FRED database, Romer&Romer
Unit(s) of Observation:
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quarterly time series,
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