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Clearing up the fiscal multiplier morass : prior and posterior analysis

Author: Eric Michael Leeper; Nora Traum; Todd B Walker; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2015.
Series: Working paper series (National Bureau of Economic Research), no. 21433.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We use Bayesian prior and posterior analysis of a monetary DSGE model, extended to include fiscal details and two distinct monetary-fiscal policy regimes, to quantify government spending multipliers in U.S. data. The combination of model specification, observable data, and relatively diffuse priors for some parameters lands posterior estimates in regions of the parameter space that yield fresh perspectives on the  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Eric Michael Leeper; Nora Traum; Todd B Walker; National Bureau of Economic Research,
OCLC Number: 919266825
Notes: "July 2015"
Includes online appendix (54 pages).
Description: 1 online resource (48 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 21433.
Responsibility: Eric M. Leeper, Nora Traum, Todd B. Walker.

Abstract:

We use Bayesian prior and posterior analysis of a monetary DSGE model, extended to include fiscal details and two distinct monetary-fiscal policy regimes, to quantify government spending multipliers in U.S. data. The combination of model specification, observable data, and relatively diffuse priors for some parameters lands posterior estimates in regions of the parameter space that yield fresh perspectives on the transmission mechanisms that underlie government spending multipliers. Posterior mean estimates of short-run output multipliers are comparable across regimes--about 1.4 on impact--but much larger after 10 years under passive money/active fiscal than under active money/passive fiscal--means of 1.9 versus 0.7 in present value.

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