- Temporal aggregation and SVAR identification, with an application to fiscal policy
- Number of pages
- onbekend: Afdeling Algemene Economie
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
We show how to assess the plausibility of identifying assumptions for a low-frequency structural vector autoregression (SVAR) using estimates from a higher-frequency model. We apply this method to an SVAR in government spending and output. Results from quarterly data show that it seems reasonable here to identify the annual fiscal SVAR by imposing a zero within-year impact of output on government spending. Our method can also be applied to other areas, for instance to examine the impact of monetary policy.
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