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Master Thesis

The dynamic effects of fiscal policy : a FAVAR approach

Abstract : We implement a recently developed econometric model, the Factor Augmented VAR (FAVAR), to investigate the dynamic effects of government spending on key macroeconomic variables. In line with existing literature, we find that a government spending shock has positive effects on consumption and output. By splitting the sample in a pre-and post- Volcker period, we find that the positive effects of government spending on consumption and output over the whole sample are largely due to the first part of the sample.
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Master Thesis
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Submitted on : Friday, January 6, 2012 - 5:26:36 PM
Last modification on : Friday, April 29, 2022 - 10:12:55 AM
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  • HAL Id : dumas-00650820, version 1


Jordan Roulleau-Pasdeloup. The dynamic effects of fiscal policy : a FAVAR approach. Statistical Finance [q-fin.ST]. 2011. ⟨dumas-00650820⟩



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