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dc.contributor.authorKRIWOLUZKY, Alexander
dc.date.accessioned2009-11-05T09:20:37Z
dc.date.available2009-11-05T09:20:37Z
dc.date.issued2009
dc.identifier.issn1725-6704
dc.identifier.urihttps://hdl.handle.net/1814/12773
dc.description.abstractThis paper investigates the effect of a government expenditure shock on consumption and real wages. I identify the shock by exploiting its pre-announced nature, i.e. different signs of the responses in investment, hours worked and output during the announcement and after the realization of the shock. Since pre-announcement leads to a non-stationary moving average representation, I estimate and identify a VMA model. The identifying restrictions are derived from a DSGE model, which is estimated by matching the impulse response functions of the VMA model. Private consumption is found to respond negatively during the announcement period and positively after the realization. The reaction of real wages is significantly positive on impact, decreases during the announcement horizon, and is again significantly positive for two quarters after the realization.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2009/40en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectC32en
dc.subjectE62en
dc.subjectH0en
dc.subjectFiscal Policy shocken
dc.subjectBayesian Estimationen
dc.subjectDSGE modelen
dc.subjectVector Autoregressionen
dc.titlePre-announcement and Timing - The Effects of a Government Expenditure Shocken
dc.typeWorking Paperen
dc.neeo.contributorKRIWOLUZKY|Alexander|aut|
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