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We just estimated twenty million fiscal multipliers

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  • Jesus Crespo Cuaresma

    (Department of Economics, Vienna University of Economics and Business)

  • Jan Capek

    (Masaryk University)

Abstract

We analyse the role played by data and specification choices as determinants of the size of the fiscal multipliers obtained using structural vector autoregressive models. The results, based on over twenty million fiscal multiplier estimated for European countries, indicate that many seemingly harmless modelling choices have a significant effect on the size and precision of fiscal multiplier estimates. In addition to the structural shock identification strategy, these modelling choices include the definition of spending and taxes, the national accounts system employed, the use of particular interest rates or inflation measures, or whether data are smoothed prior to estimation.

Suggested Citation

  • Jesus Crespo Cuaresma & Jan Capek, 2018. "We just estimated twenty million fiscal multipliers," Department of Economics Working Papers wuwp268, Vienna University of Economics and Business, Department of Economics.
    • Handle: RePEc:wiw:wiwwuw:wuwp268
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    1. van der Wielen, Wouter, 2020. "The macroeconomic effects of tax changes: Evidence using real-time data for the European Union," Economic Modelling, Elsevier, vol. 90(C), pages 302-321.
    2. Jiménez, Alvaro & Rodríguez, Gabriel & Ataurima Arellano, Miguel, 2023. "Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models," Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 314-332.
    3. Nizam, Ahmed Mehedi, 2020. "Some Amendments to the Algebraic Representation and Empirical Estimation of the Fiscal Multipliers," MPRA Paper 104346, University Library of Munich, Germany.
    4. Angela Köppl & Margit Schratzenstaller, 2022. "Macroeconomic Effects of Green Recovery Programmes. Conceptual Framing and a Review of the Empirical Literature," WIFO Working Papers 646, WIFO.

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    More about this item

    Keywords

    Fiscal multiplier; structural VAR; meta-analysis;
    All these keywords.

    JEL classification:

    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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