Romer and Romer (2010) use the narrative record to generate a time series of exogenous shocks to fiscal policy. They report a tax multiplier of 3.0. We extend their analysis and allow for nonlinearities between their shocks and the effects on output by estimating a threshold regression model....

Using a new uncertainty index from Baker et al. (2012), we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and...

Using recently published tax series by Romer and Romer (2010) and Cloyne (2013) we examine whether or not positive and negative tax shocks have asymmetric effects on the U.S. and U.K. economies. We find that in the U.S. positive tax shocks—tax increases—do not affect output while negative...