Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis

Arbeitspapier

We investigate whether the macroeconomic effects of government spending shocks vary with the level of uncertainty. Using postwar US data and a Self-Exciting Interacted VAR (SEIVAR) model, we find that fiscal spending has positive output effects in tranquil times but is contractionary during uncertain times. The endogenous reaction of macroeconomic uncertainty plays an important role in explaining the non-linear impact of government spending. In contrast to other types of government spending, research and development expenditures reduce uncertainty and have an expansionary effect on output during uncertain times.

Object Details

• ISBN: 978-3-86788-959-9
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Ruhr Economic Papers ; No. 826

Classification and Topics

• Classification: Wirtschaft ; Fiscal Policy ; Business Fluctuations; Cycles ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Government spending shocks ; uncertainty ; non-linear structural vector autoregressions ; interacted VAR ; generalized impulse response functions ; endogenous uncertainty

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Belke, Ansgar ; Goemans, Pascal
• Event: Veröffentlichung
• (who): RWI - Leibniz-Institut für Wirtschaftsforschung
• (where): Essen
• (when): 2019

Further information

• DOI: doi:10.4419/86788959
• Handle: http://hdl.handle.net/10419/206398
• Last update: 10.03.2025, 11:41 AM CET