My da|ra Login

Detailed view

metadata language: English

Replication data for: Fiscal Volatility Shocks and Economic Activity

Resource Type
  • Fernández-Villaverde, Jesús
  • Guerrón-Quintana, Pablo
  • Kuester, Keith
  • Rubio-Ramírez, Juan
Publication Date
  • Abstract

    We study how unexpected changes in uncertainty about fiscal policy affect economic activity. First, we estimate tax and spending processes for the United States with time-varying volatility to uncover evidence of time-varying volatility. Second, we estimate a VAR for the US economy using the time-varying volatility found in the previous step. Third, we feed the tax and spending processes into an otherwise standard New Keynesian model. Both in the VAR and in the model, we find that unexpected changes in fiscal volatility shocks can have a sizable adverse effect on economic activity. An endogenous increase in markups is a key mechanism. (JEL E12, E23, E32, E52, E62)
  • Is supplement to
    DOI: 10.1257/aer.20121236 (Text)
  • Fernández-Villaverde, Jesús, Pablo Guerrón-Quintana, Keith Kuester, and Juan Rubio-Ramírez. “Fiscal Volatility Shocks and Economic Activity.” American Economic Review 105, no. 11 (November 2015): 3352–84.
    • ID: 10.1257/aer.20121236 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo; Kuester, Keith; Rubio-Ramírez, Juan (2015): Replication data for: Fiscal Volatility Shocks and Economic Activity. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.