Temporal aggregation and SVAR identification, with an application to fiscal policy
We show how to assess identifying assumptions for a low-frequency SVAR using estimates from a higher-frequency model. In our application quarterly data support identified annual SVARs in government spending and output by assuming zero within-year impact of output on spending.
Year of publication: |
2009
|
---|---|
Authors: | Beetsma, Roel ; Giuliodori, Massimo ; Klaassen, Franc |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 3, p. 253-255
|
Publisher: |
Elsevier |
Keywords: | Structural vector autoregression (SVAR) Identification High frequency Low frequency Fiscal and monetary policy |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
The effects of public spending shocks on trade balances and budget deficits in the European Union
Beetsma, Roel, (2008)
-
Trade spillovers of fiscal policy in the European Union: a panel analysis
Beetsma, Roel, (2005)
-
Trade spill-overs of fiscal policy in the European Union : a panel analysis
Beetsma, Roel, (2006)
- More ...