We construct a government spending news series in Korea based on Fisher and Peters (2010) by exploiting a market-weighted sum of excess stock returns of military contractors in Korea. We then use this military spending news series and estimate a structural VAR model to evaluate the effects of government spending. As a result, GDP and government spending show statistically significant responses to military spending news shocks. The accumulated government spending multiplier peaks after four quarters, and the five-year cumulative multiplier is calculated as 1.27. For a robustness check, different types of VAR models are tested and results are qualitatively similar.

我们通过利用韩国军事承包商超额股票收益的市场加权总和，基于 Fisher 和 Peters（2010）构建了韩国政府支出新闻系列。然后我们使用这个军事开支新闻系列并估计结构性 VAR 模型来评估政府开支的影响。因此，GDP 和政府支出对军事开支新闻冲击在统计上表现出显着的反应。累计政府支出乘数在四个季度后达到峰值，五年累计乘数计算为1.27。对于稳健性检查，测试了不同类型的 VAR 模型，结果在性质上相似。