Analysis of the dynamic effects of fiscal policy using a factor augmented VAR approach

Költringer, Andreas

Koeltringer_2015-12-24-masterthesis_final.pdf - Published

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URN: urn:nbn:de:bsz:180-madoc-452473
Document Type: Final Thesis , Master's
Year of publication: 2015
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Trenkler, Carsten
Date of oral examination: 24 December 2015
Publication language: English
Institution: School of Law and Economics > VWL, Empirische Wirtschaftsforschung (Trenkler)
Subject: 330 Economics
Subject headings (SWD): Faktorenanalyse , Strukturelles vektor-autoregressives Modell , Impulsantwort , Hauptkomponentenanalyse , Fiskalpolitik , Öffentliche Ausgaben , Öffentliche Einnahmen
Keywords (English): Factor Models , Structural VAR , Impulse Response , Principal components , Fiscal Policy , Government Spending , Taxes
Abstract: The present master thesis analyzes the dynamic effects of fiscal policy on economic activity, by using a Factor Augmented Structural VAR approach. To achieve identification, contemporaneous timing restrictions are used. The results confirm the neoclassical view in some aspects, but the Keynesian view in others. As an example, the impulse response of GDP following a spending shock is negative, confirming the neoclassical view. However, the response of hours worked is also negative, which contradicts the neoclassical view.

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