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Master Thesis Year : 2011

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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Dates and versions

dumas-00650820 , version 1 (06-01-2012)

Identifiers

  • HAL Id : dumas-00650820 , version 1

Cite

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