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Heterogeneity and Aggregate Fluctuations

Chang, Minsu; Chen, Xiaohong; Schorfheide, Frank - National Bureau of Economic Research - 2021

We develop a state-space model with a state-transition equation that takes the form of a functional vector autoregression and stacks macroeconomic aggregates and a cross-sectional density. The measurement equation captures the error in estimating log densities from repeated cross-sectional...

Persistent link: https://www.econbiz.de/10012533402

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10012480669

Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach

Schorfheide, Frank - 2014

multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

Persistent link: https://www.econbiz.de/10012458363

The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications

Andreasen, Martin M. - 2013

estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …

Persistent link: https://www.econbiz.de/10012459679

When is Debt Odious? A Theory of Repression and Growth Traps

Acharya, Viral V. - 2020

How is a developing country affected by its odious government's ability to borrow in international markets? We examine the dynamics of a country's growth, consumption, and sovereign debt, assuming that the government is myopic and wants to maximize short-term, socially unproductive, spending....

Persistent link: https://www.econbiz.de/10012481804

International Differences in Fiscal Policy During the Global Crisis

Bénétrix, Agustín S. - 2010

We examine the cross-country dispersion in fiscal outcomes during 2007-2009. In principle, international differences in fiscal policy may be related to differences in optimal fiscal positions, funding constraints, political economy factors and fiscal control problems. We find that the decline in...

Persistent link: https://www.econbiz.de/10012462310

By How Much Does GDP Rise if the Government Buys More Output?

Hall, Robert E. - 2009

During World War II and the Korean War, real GDP grew by about half the amount of the increase in government purchases. With allowance for other factors holding back GDP growth during those wars, the multiplier linking government purchases to GDP may be in the range of 0.7 to 1.0, a range...

Persistent link: https://www.econbiz.de/10012463153

Revealing Failures in the History of School Finance

Lindert, Peter H. - 2009

Both the anomalies of education history, and its less surprising contrasts, fit broad patterns that can be revealed and partially explained using low-tech methods. Over most of human history, contrasts in the output of education were driven mainly by contrasts in the supply of tax support for...

Persistent link: https://www.econbiz.de/10012463158

Macroeconomic Effects from Government Purchases and Taxes

Barro, Robert J. - 2009

For U.S. annual data that include WWII, the estimated multiplier for temporary defense spending is 0.4-0.5 contemporaneously and 0.6-0.7 over two years. If the change in defense spending is "permanent" (gauged by Ramey's defense-news variable), the multipliers are higher by 0.1-0.2. The...

Persistent link: https://www.econbiz.de/10012463281

Public Finance in Models of Economic Growth

Barro, Robert J. - 1990

The recent literature on endogenous economic growth allows for effects of fiscal policy on long-term growth. If the social rate of return on investment exceeds the private return, then tax policies that encourage investment can raise the growth rate and levels of utility. An excess of the social...

Persistent link: https://www.econbiz.de/10012475671

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