This paper analyses the effects of discretionary fiscal policy by presenting new empirical evidence for Germany within a structural vector autoregression (SVAR) framework. Following Blanchard and Perotti (2002), the SVAR model is identified by applying institutional information. We find no compelling evidence for the effectiveness of discretionary fiscal policy. Cutting taxes does not tend to s...

The paper presents a bivariate SVAR model including growth rates of industrial production and of stock prices. Imposing a long-run restriction à la Blanchard and Quah (1989) that excludes long-run influences of the stock market on real activity allows to decompose stock prices in a fundamental and a nonfundamental component. The results of the forecast error variance decompositions as well as o...

The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data. Using output and inflation data generated by this model, the author uses each output-gap estimation methodology to construct an estimate of the true output gap. He then evaluates the m...

Resumo Estimamos um VAR estrutural (SVAR) baseado em Blanchard e Perotti (2002) com dados atualizados do governo central de Gobetti Orair (2017) para estimar multiplicadores fiscais. O resultado sugere multiplicador maior na amostra completa (1997-2018) relação à pré-crise (até 2014) benefícios sociais investimentos públicos. Nosso primeiro exercício avalia a reorientação da política fiscal os ...

This paper is an attempt to investigate the effect of fiscal policy on output in Indonesia using Structural Vector Autoregression (SVAR) methodology for the period 1983:1 – 2010:1. We use contemporaneous restriction and follow Blanchard and Perotti (1999) technique to identify structural fiscal policy shocks in Indonesia. The estimation results show that the government spending shocks are found...

This paper investigates the impacts and responses of macroeconomic shocks in some domestic economies in Sub-Saharan Africa over the period 1961-99; more specifically, it seeks to answer the question of whether there are any systematic differences in the responses of the CFA franc zones and the non-CFA franc zone countries to macroeconomic shocks. Based on the Blanchard-Quah methodology, we iden...

The main substantive finding of the recent structural vector autoregression literature with a differenced specification of hours (DSVAR) is that technology shocks lead to a fall in hours. Researchers have used these results to argue that business cycle models in which technology shocks lead to a rise in hours should be discarded. We evaluate the DSVAR approach by asking, is the specification de...

This paper aims to provide a non-technical introduction into the SVAR methodology. Particular emphasize is put on the approach to identification in SVAR models, which is compared to identification in simultaneous equation models. It is shown that SVAR models are useful tools to analyze the dynamics of a model by subjecting it to an unexpected shock, whereas simultaneous equation models are bett...

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the finite-sample properti...