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标题：Transmission of government spending shocks in the euro area: Time variation and driving forces
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作者：Markus Kirchner ; Jacopo Cimadomo ; Sebastian Hauptmeier 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2010
出版社：European Central Bank
摘要：This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying structural VAR techniques. The results show that the short-run effectiveness of government spending in stabilizing real GDP and private consumption has increased until the end-1980s but it has decreased thereafter. Moreover, government spending multipliers at longer horizons have declined substantially over the sample period. We also observe a weaker response of real wages and a stronger response of the nominal interest rate to spending shocks. Second, we provide econometric evidence on the driving forces behind the observed time variation of spending multipliers. We find that a higher ratio of credit to households over GDP, a smaller share of government investment and a larger share of public wages over total government spending have led to decreasing contemporaneous multi- pliers. At the same time, our results indicate that higher government debt-to-GDP ratios have negatively affected long-term multipliers
关键词：Government spending shocks; Fiscal transmission mechanism; Struc-;tural change; Structural vector autoregressions; Time-varying parameter models