Data and Code for: “Do Government Spending Multipliers Depend on the Sign of the Shock?”

Principal Investigator(s): View help for Principal Investigator(s) Nadav Ben Zeev, Ben-Gurion University of the Negev; Valerie Ramey, University of California-San Diego; Sarah Zubairy, Texas A&M University

Version: View help for Version V1

Name	File Type	Size	Last Modified
gsdll64.dll	application/x-msdownload	20.9 MB	03/20/2023 09:08:AM
gsdll64.lib	application/x-archive	11 KB	03/20/2023 09:08:AM
gswin64.exe	application/x-dosexec	233.5 KB	03/20/2023 09:08:AM
gswin64c.exe	application/x-dosexec	224 KB	03/20/2023 09:08:AM

Project Description

Summary:

We analyze whether government spending multipliers differ by the sign of the shock. Using aggregate historical U.S. data, we apply Ben Zeev’s (2020) nonlinear diagnostic tests and find evidence of nonlinearities in the impulse response functions of both government spending and GDP. We then extend Ramey and Zubairy’s (2018) framework to allow for asymmetric effects as a type of state dependence to estimate multipliers. While we find differences in the impulse response functions, the resulting multipliers do not differ by sign of the shock. Thus, we find no evidence of asymmetry of government spending multipliers.

Scope of Project

JEL Classification:
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      E62 Fiscal Policy
      N12 Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913-

Geographic Coverage: United States

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Published Versions

V1 [2023-04-28]

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