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| Tekijä: | Fisher, J.D.M. Peters, R. |
| Otsikko: | Using stock returns to identify government spending shocks |
| Lehti: | Economic Journal
2010 : MAY, VOL 120:544 p. 414-436 |
| Asiasana: | PUBLIC EXPENDITURE government army PAY consumption USA |
| Kieli: | eng |
| Tiivistelmä: | This paper explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify these shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. Positive spending shocks are found to associate with increases in output, hours and consumption; real wages initially decline but then rise one year after the shock. It is estimated that the government spending multiplier associated with increases in military spending is about 1,5 over a horizon of 5 years. |
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