This paper studies the evolution of government spending multipliers in the post‐war USA
using a time‐varying parameter VAR model. We achieve identification by imposing sign and …

This paper investigates the implications of fiscal policy for labor income inequality through
two causal channels. First, I estimate how fiscal policy reacts to negative income shocks …

Different proxy variables used in fiscal policy SVARs lead to contradicting conclusions
regarding the size of fiscal multipliers. We show that the conflicting results are due to …

We propose a novel instrumental variable to identify fiscal shocks in small open economies.
Under the assumptions that unexpected changes in trading partners correlate with output of …

Proxy variables have gained widespread prominence as indispensabletools for identifying
structural VAR models. Analogous to instrumental variables, proxies need to be exogenous …

This study re‐evaluates the macroeconomic impact of monetary policy shocks in the United
States using the proxy‐SVAR approach of Gertler and Karadi (American Economic Journal …

We extend the multivariate GARCH (MGARCH) specification for volatility modeling by
developing a structural MGARCH model that targets the identification of shocks and volatility …

This paper studies the evolution of government spending multipliers in the post-war US
using a time-varying parameter VAR model. We achieve identification by imposing sign and …

The study analyzes the regional heterogeneity of the impact of government expenditure on
Polish voivodships. The aim of the paper is to estimate regional fiscal multipliers in Poland …

Using external instruments, one can recover the effects of individual shocks without fully
identifying a vector autoregression (VAR). We show that fully or almost fully instrumenting a …