Replication data for: Measuring Tax Multipliers: The Narrative Method in Fiscal VARs
收藏ICPSR2012-01-01 更新2026-04-16 收录
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This paper argues in favor of empirical models built by including in fiscal VAR models structural shocks identified via the narrative method. We first show that "narrative" shocks are orthogonal to the relevant information set a fiscal VAR. We then derive impulse
responses to these shocks. The use of narrative shocks does not require the inversion of the moving-average representation of a VAR for the identification of the relevant shocks. Therefore, within this framework, fiscal multipliers can be identified and estimated even when, in the presence of "fiscal foresight," the MA representation of the VARs is not invertible. (JEL C32, E62, H20, H62, H63)
本文倡导通过将叙事方法识别的结构冲击纳入财政向量自回归（VAR）模型以构建经验研究模型。我们首先证明，“叙事”式冲击与财政VAR所涉及的相关信息集正交。随后我们推导得到此类冲击的脉冲响应函数。采用叙事冲击无需为识别相关冲击而对VAR的移动平均表示进行逆变换。因此，在该框架下，即便因存在“财政预期”而导致VAR的移动平均表示无法求逆，仍可识别并估算财政乘数。（JEL C32, E62, H20, H62, H63）
创建时间：
2012-01-01
