Publicação
U.S. Government fiscal multipliers across monetary policy regimes: evidence from forecast-error and narrative defence-news shocks
| Resumo: | This work project estimates U.S. government spending multipliers using local projections with external instruments(LP–IV),smooth local projections (SLP–IV), and a time-varying-parameter extension (TVP–SLP–IV). A constant-parameter SLP–IV baseline on 1985Q1–2019Q4 yields modest cumulative dollar multipliers, often below one. A single TVP–SLP–IV model on 1985Q1–2023Q4 delivers regime-averaged impulse responses for five monetary-policy environments; multipliers for the three long pre-Covid regimes cluster around unity, while Covid and post-Covid multipliers are treated as not identified. Identification uses Auerbach Gorodnichenko forecast-error shocks; Ramey defence-news shocks provide overlap robustness. Inflation and inflation expectations respond mildly. |
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| Autores principais: | Pinto, José Tomás |
| Assunto: | Fiscal Multipliers Zero Lower Bound Monetary Policy Regimes Smooth Local Projections Time-Varying Parameters |
| Ano: | 2026 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This work project estimates U.S. government spending multipliers using local projections with external instruments(LP–IV),smooth local projections (SLP–IV), and a time-varying-parameter extension (TVP–SLP–IV). A constant-parameter SLP–IV baseline on 1985Q1–2019Q4 yields modest cumulative dollar multipliers, often below one. A single TVP–SLP–IV model on 1985Q1–2023Q4 delivers regime-averaged impulse responses for five monetary-policy environments; multipliers for the three long pre-Covid regimes cluster around unity, while Covid and post-Covid multipliers are treated as not identified. Identification uses Auerbach Gorodnichenko forecast-error shocks; Ramey defence-news shocks provide overlap robustness. Inflation and inflation expectations respond mildly. |
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