Abstract This paper conducts an empirical investigation of the effects of temporary versus persistent fiscal policy shocks. Using data from the US I show that short lived fiscal expansions have a positive effect on output and consumption; while persistent fiscal shocks generate negative effects...

DSGE models are typically estimated assuming the existence of certain primal shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are "non-existent" and propose a method to select the primal shocks driving macroeconomic uncertainty. Forcing these...

This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous change in financial intermediaries' preference for "high"...

In this paper we set up a macroeconomic model designed to describe small open economy enduring political uncertainty arising from split of a country into two independent parts. The findings in the paper indicate, stabilization of asset markets in either country at the post-secession era depends...

What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue that most business cycle fluctuations are driven by one major factor. The...

Compared with identification of monetary policy shocks, Identification of fiscal policies shocks are equally important, but there are insufficient in related research of China. Therefore, the paper chooses Sign Restriction to identify fiscal policies shocks of China. After we discuss...

This paper examines the effects of fiscal policy shocks on private consumption in Nigeria. Albeit, there is a considerable number of works examining the effects of fiscal policy shocks on private consumption globally but in Nigeria, no study has used the structural VAR approach by Blanchard and...

Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...

We propose a new methodology for the analysis of impulse response functions in VAR or VARMA models. More precisely, we build our results on the non ambiguous notion of innovation of a stochastic process and we consider the impact of any kind of new information at a given date $t$ on the future...