Impulse response estimation via flexible local projections

Arbeitspapier

This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application shows that the fiscal multiplier is stronger in recession than expansion only in response to contractionary fiscal shocks, but not in response to expansionary fiscal shocks. We then show that financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock is negative, but not when the shock is positive.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 938

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy
• Subject: Non-linear models ; non-parametric techniques ; identification

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mumtaz, Haroon ; Piffer, Michele
• Event: Veröffentlichung
• (who): Queen Mary University of London, School of Economics and Finance
• (where): London
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/284289
• Last update: 10.03.2025, 11:43 AM CET