No abstract

We estimate non‐linear VARs to assess to what extent fiscal spending multipliers are countercyclical in the US. We deal with the issue of non‐fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated fiscal shocks is shown to carry valuable information about future dynamics of public spending. Results based on generalised impulse responses suggest that fiscal spending multipliers in recessions are greater than one, but not statistically larger than those in expansions. However, non‐linearities arise when focusing on ‘extreme’ events, that is, deep recessions versus strong expansionary periods.

We estimate nonlinear VARs to assess to what extent Öscal spending multipliers are countercyclical in the United States. We deal with the issue of nonfundamentalness due to Öscal foresight by appealing to sums of revisions of expectations of Öscal expenditures. This measure of anticipated Öscal shocks is shown to carry valuable information of future dynamics of public spending. Results based on generalized impulse responses suggest that Öscal spending multipliers in recessions are greater than one, but not statistically larger than in expansions. However, nonlinearities arise when focusing on deep recessions vs. strong expansionary periods.

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This study evaluates the effects of financial uncertainty shocks in the US, investigating the role of the monetary policy stance. Estimating a nonlinear Vector Autoregressive, we find that an uncertainty shock triggers asymmetric and negative effects across the business cycle. The reactions of consumption and investments are state-dependent and drive the fluctuations of GDP. The variance of macroeconomic variables due to the shock is from four to six times larger in recessions than in normal times. A counterfactual exercise shows that the Balance Sheet-related monetary policy mitigates the persistence and the magnitude of the recessionary effects of the shock.