Identifying government spending shocks in the U.K: A novel instrumental approach based on natural disasters.

识别英国政府支出冲击：基于自然灾害的新颖工具方法。

• 批准号: 2864734
• 金额: --
• 依托单位: Lancaster University
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2023
• 资助国家: 英国
• 起止时间: 2023 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2864734
• 关键词: Identifying; government; spending; shocks; U.K

Identifying government spending shocks in the U.K:A novel instrumental approach based on natural disasters.Following the global financial crisis of 2007, many countries resorted to significant fiscal stimulus packages, consisting of increased government spending and tax cuts, to boost economic activity. Most of these packages were based on the Keynesian view that expansionary fiscal policy can mitigate the economic downfall and prevent the waste of economic resources. In line with this rationale, in 2008, the United Kingdom was one of the major economies to lead calls for fiscal expansion to stimulate aggregate demand and help offset the global economic downturn. Adopting such measures generated a renewed interest among academics and policymakers in whether and to what extent fiscal policies are effective. This interest was recently further stimulated by the massive fiscal response that followed the Covid-19 pandemic.Despite its importance, there is still no consensus over the effectiveness of fiscal policy in stabilising the economy (Cloyne, 2013; Ramey, 2011; Mertens and Ravn, 2012; Leeper et al., 2013). A prime reason for this lack of consensus lies in the difficulty of identifying primitive, unanticipated policy shocks (i.e. changes in fiscal policy not correlated with other macroeconomic fluctuations) which are required for conducting a causal analysis. The existing literature has proposed various methods for identifying fiscal shocks to address this. These involve time and sign restrictions in a VAR system and instruments (Ramey, 2016). Unfortunately, each of these techniques exhibits weaknesses that raise concerns about the findings of empirical studies. For instance, the short-run restriction approach suffers from anticipation issues. Specifically, because government expenditure or tax cuts are usually announced several quarters before they take place, it fails to account for changes in expectations which leads to underestimation of the effect of fiscal policy (see Mertens and Ravn, 2010). Similarly, sign restrictions that compute impulse responses based on a large set of plausible models make the structural analysis less informative (Braun and Bruggemann, 2022).A method which has been gaining popularity in recent years is the identification of shocksusing instruments. As shown by Ramey (2016), exploiting variation from proper instruments deals with the problem of fiscal foresight (anticipation) and provides robust results. The mainchallenge of identification using instruments is the selection of the instrument itself. Theselected instrument must be correlated with the shock of interest and orthogonal to the restof the shocks. These conditions are untestable, and as a consequence, applications of shockidentification using instruments are often criticised either for lack of strict exogeneity1 or forlow relevance. Regarding government spending shocks, most of the existing literature exploitsvariation in military spending to construct instruments for identification. The underlyingassumption is that military expenditures constitute government spending unrelated to thestate of the economy (Ramey and Shapiro, 1998; Ramey, 2011; Ben Zeev and Pappa, 2017).However, Ramey (2016) argues that proxies of government spending shocks constructedfrom historical records on military spending are weak instruments for the post-Korean warsamples.

2007年全球金融危机后，许多国家采取了包括增加政府支出和减税在内的重大财政刺激方案，以刺激经济活动。这些一揽子计划大多基于凯恩斯主义的观点，即扩张性财政政策可以缓解经济下滑，防止浪费经济资源。根据这一理由，2008年，联合王国是带头呼吁扩大财政以刺激总需求和帮助抵消全球经济下滑的主要经济体之一。采取这些措施使学术界和决策者重新对财政政策是否有效以及在多大程度上有效产生了兴趣。尽管财政政策非常重要，但人们对财政政策在稳定经济方面的有效性仍然没有达成共识（Cloyne，2013; Ramey，2011; Mertens and Ravn，2012; Leeper et al.，2013年）。缺乏共识的主要原因在于难以确定进行因果分析所需的原始的、未预料到的政策冲击（即与其他宏观经济波动无关的财政政策变化）。现有的文献提出了各种方法来确定财政冲击，以解决这个问题。这些涉及VAR系统和工具中的时间和符号限制（Ramey，2016）。不幸的是，这些技术中的每一个都表现出弱点，引起了人们对实证研究结果的关注。例如，短期限制方法存在预期问题。具体而言，由于政府支出或减税通常在实施前几个季度才宣布，因此没有考虑到预期的变化，从而低估了财政政策的效果（参见Mertens and Ravn，2010）。同样，基于大量合理模型计算脉冲响应的符号限制使得结构分析的信息量减少（Braun和Bruggemann，2022）。近年来越来越流行的一种方法是使用仪器识别冲击。正如Ramey（2016）所示，利用适当工具的变化可以解决财政预见（预期）问题，并提供稳健的结果。使用仪器识别的主要挑战是仪器本身的选择。所选仪器必须与感兴趣的冲击相关，并与其余冲击正交。这些条件是不可检验的，因此，使用仪器进行冲击识别的应用经常受到批评，要么缺乏严格的外生性1，要么相关性低。关于政府支出冲击，大多数现有文献利用军费开支的变化来构建识别工具。基本假设是军事支出构成了与经济状况无关的政府支出（Ramey和Shapiro，1998; Ramey，2011; Ben Zeev和Pappa，2017）。然而，Ramey（2016）认为，根据军事支出的历史记录构建的政府支出冲击代理是后朝鲜战争样本的薄弱工具。