The Effects of Government Spending Shocks with Fiscal Foresight : 재정 예측을 고려한 정부지출충격의 효과 분석

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Jihye Kang

사회과학대학 경제학부
Issue Date
서울대학교 대학원
구조 VAR재정정책정부비출충격
학위논문 (박사)-- 서울대학교 대학원 : 경제학부 경제학전공, 2016. 2. 김소영.
This thesis investigates the effects of government spending with consider-
ation of fiscal foresight. In chapter 2, we suggest that a part of the contro-
versy in the literature may be explained by the difference in the nature of the
shocks identified by Ramey (2011b). We show evidence of inconsistency in the
results in Ramey (2011b)
we also explain the mixed results in follow-ups in
Ramey (2011b). Moreover, we study the effects of the news shock by construct-
ing changes in the expected present value of changes in government spending
based on the SPF data, as in the first method. With this modified method, we
investigate the effects of anticipated government spending shocks and discuss
whether the empirical results are consistent with the neoclassical view.
In chapter 3, we study the effects of unanticipated government spending
shocks. Our focus is on verifying whether a specific VAR model has fundamental representation by a theoretical model and empirical test. First, we dis-
cuss three widely used specifications of VAR models—conventional structural
VAR (SVAR), expectation-augmented VAR with forecast error (EVAR FE),
and expectation-augmented VAR with future news (EVAR FN)—with theoret-
ical examples.
We conduct the formal presentation of fundamentalness based on two types
of news processes: observable news process and noisy news process. We find
that i) assuming that agents can observe the news clearly, SVAR may not be
fundamental. Also, EVAR FE may still be non-fundamental, but EVAR FN
be fundamental. ii) With noisy news assumption, a simple remedy of adding
relative information may not be working in terms of theoretical models. EVAR
FN become also nonfundamental where the news is noisy.
In the second part of chapter 3, we empirically examine the fundamentalness
of three VAR specifications. We conduct the orthogonality test of Forni and
Gambetti (2014c) to check whether the shocks from each VAR are fundamental.
We find that unanticipated government spending shocks estimated from SVAR
and EVAR FE are likely to be non-fundamental, but EVAR FN is not.
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College of Social Sciences (사회과학대학)Dept. of Economics (경제학부)Theses (Ph.D. / Sc.D._경제학부)
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