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
  export_fig-3.12 03/20/2023 01:08:PM
  gs9.54.0 03/20/2023 01:42:PM
CROSS_VALIDATION_BAYESIAN_RAMEY_LEVELS.m text/x-objcsrc 16.5 KB 03/20/2023 09:08:AM
FINAL_OUTPUT.asv text/plain 15.1 KB 03/20/2023 09:08:AM
FINAL_OUTPUT.m text/x-objcsrc 15.5 KB 03/20/2023 09:08:AM
FISCAL_DATA_SHOCK.mat application/x-matlab-data 21.8 KB 03/20/2023 09:08:AM
FISCAL_NEWS_FIGURE_LINEAR_LEVELS11.pdf application/pdf 11.4 KB 03/20/2023 09:08:AM
FISCAL_NEWS_FIGURE_NONLINEAR_LEVELS11.pdf application/pdf 15 KB 03/20/2023 09:08:AM
FIS_MC_INPUT_LEVELS_1.mat application/x-matlab-data 21.4 KB 03/20/2023 09:08:AM
GENERATE_UNOBSERVED_SHOCK_RAMEY_LEVELS.m text/x-matlab 3.2 KB 03/20/2023 09:08:AM

Project Description

Summary:  View help for 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:  View help for 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:  View help for Geographic Coverage United States


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Published Versions

V1 [2023-04-28]

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