Measuring Tax Multipliers: The Narrative Method in Fiscal VARs †
Measuring Tax Multipliers: The Narrative Method in Fiscal VARs †
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衡量税收乘数：财政 VAR 中的叙述方法 †
DOI：
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
F. Giavazzi
中科院分区：
文献类型：
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作者：
Carlo A. Favero;F. Giavazzi
本文主张在财政VAR模型中加入通过叙述性方法识别的结构性冲击，从而构建经验模型。我们首先证明了“叙事性”冲击与相关信息集为财政VAR是正交的。然后，我们推导出对这些冲击的脉冲响应。使用叙述性冲击不需要对VAR的移动平均表示进行倒置，以确定相关冲击。因此，在这个框架内，即使在存在“财政远见”的情况下，也可以确定和估计财政乘数，即使在存在“财政远见”的情况下，VAR的MA表示是不可逆的。(Jel C32、E62、H20、H62、H63)
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)