Arbeitspapier
Using stock returns to identify government spending shocks
This paper explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. We find that positive government spending shocks are associated with increases in output, hours, and consumption. Real wages initially decline after a government spending shock and then rise after a year. We estimate the government spending multiplier associated with increases in military spending to be about 0.6 over a horizon of 5 years.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2009-03
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General
- Thema
-
government spending shocks
fiscal policy
stock returns
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fisher, Jonas D.M.
Peters, Ryan
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Chicago
- (wo)
-
Chicago, IL
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Fisher, Jonas D.M.
- Peters, Ryan
- Federal Reserve Bank of Chicago
Entstanden
- 2009
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