We estimate non‐linear VARs to assess to what extent fiscal spending multipliers are countercyclical in the US. We deal with the issue of non‐fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated fiscal shocks is shown to carry valuable information about future dynamics of public spending. Results based on generalised impulse responses suggest that fiscal spending multipliers in recessions are greater than one, but not statistically larger than those in expansions. However, non‐linearities arise when focusing on ‘extreme’ events, that is, deep recessions versus strong expansionary periods.
We estimate nonlinear VARs to assess to what extent Öscal spending multipliers are countercyclical in the United States. We deal with the issue of nonfundamentalness due to Öscal foresight by appealing to sums of revisions of expectations of Öscal expenditures. This measure of anticipated Öscal shocks is shown to carry valuable information of future dynamics of public spending. Results based on generalized impulse responses suggest that Öscal spending multipliers in recessions are greater than one, but not statistically larger than in expansions. However, nonlinearities arise when focusing on deep recessions vs. strong expansionary periods.
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