CMStatistics 2017: Start Registration
View Submission - CFE
A1052
Title: A nonlinear panel structural VARs approach to state dependent fiscal multipliers Authors:  Lenard Lieb - Maastricht University (Netherlands)
Peter Pedroni - Williams College (United States) [presenting]
Abstract: Nonlinearities in dynamic fiscal policy mutlipliers are investigated by using a novel structural panel vector autoregression framework. Nonlinearities are often modeled in the literature through state-dependent linear models that are essentially threshold VARs, where the threshold is linked piecewise to the business cycle. We argue that sycg piecewise linear models may only poorly capture the interaction with the business cycle if nonlinearities are of a more complex nature. Our approach can be seen as a generalization of threshold-type models which allows for a continuum of states. By exploiting the cross-sectional heterogeneity in the dynamics of the panel we are able to effectively estimate the underlying form of nonlinear dependence of the dynamic responses of the economy to fiscal policy events.