Purpose

The purpose of this paper is to investigate whether the macroeconomic effects of government spending shocks vary with the degree of macroeconomic uncertainty.

Design/methodology/approach

The authors use quarterly US data from 1960 to 2017 and employ the Self-Exciting Interacted VAR (SEIVAR) to compute nonlinear generalized impulse response functions (GIRFs) to an orthogonalized government spending shock during tranquil and in uncertain times. The parsimonious design of the SEIVAR enables us to focus on extreme deciles of the uncertainty distribution and to control for the financing side of the government budget, monetary policy, financial frictions and consumer confidence.

Findings

Fiscal spending has positive output effects in tranquil times, but is contractionary during times of heightened macroeconomic uncertainty. The results indicate an important role of the endogenous response of macroeconomic uncertainty. Investigating different government spending purposes, only increases in research and development expenditures reduce uncertainty and boost output during uncertain times.

Originality/value

The authors contribute to the literature in using a method which allows to control for a large set of confounding factors and accounts for the uncertainty response.

中文翻译：

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美国财政政策的不确定性和非线性宏观经济效应：基于 SEIVAR 的分析

目的

本文的目的是调查政府支出冲击的宏观经济影响是否会随着宏观经济不确定性的程度而变化。

设计/方法/方法

作者使用 1960 年至 2017 年的季度美国数据，并使用自激交互 VAR (SEIVAR) 来计算在平静和不确定时期正交政府支出冲击的非线性广义脉冲响应函数 (GIRF)。SEIVAR 的简约设计使我们能够专注于不确定性分布的极端十分位数，并控制政府预算、货币政策、金融摩擦和消费者信心的融资方面。

发现

财政支出在平静时期对产出产生积极影响，但在宏观经济不确定性加剧时出现收缩。结果表明宏观经济不确定性的内生反应具有重要作用。调查不同的政府支出目的，只有增加研发支出才能在​​不确定时期减少不确定性并提高产出。

原创性/价值

作者在使用允许控制大量混杂因素并解释不确定性响应的方法方面为文献做出了贡献。