Sascha A. Keweloh, Mathias Klein, Jan Prüser
arXiv 25 Feb 2023 · Econometrics · publishedEconometrics Journal (2025) · 3 citations (OpenAlex)
arXiv:2302.13066 · PDF · DOI · OpenAlex · Extracted main text
Different proxy variables used in fiscal policy SVARs lead to contradicting conclusions regarding the size of fiscal multipliers. Our analysis suggests that the conflicting results may stem from violations of the proxy exogeneity assumptions. We propose a novel approach to include proxy variables into a Bayesian non-Gaussian SVAR, tailored to accommodate potentially endogenous proxies. Using our model, we find that increasing government spending is more effective in stimulating the economy than reducing taxes.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Caldara, D. and Kamps, C (2017) The analytics of svars: a unified framework to measure fiscal multipliers | 0.885 | 26 | 6 | 69% |
| 2 | Anttonen, J., Lanne, M., and Luoto, J (2023) Statistically Identified SVAR Model with Potentially Skewed and Fat-Tailed Errors | 0.874 | 6 | 3 | 67% |
| 3 | Mertens, K. and Ravn, M. O (2014) A Reconciliation of SVAR and Narrative Estimates of Tax Multipliers | 0.847 | 28 | 8 | 61% |
| 4 | Braun, R (2023) The importance of supply and demand for oil prices: evidence from non-gaussianity | 0.843 | 3 | 3 | 100% |
| 5 | Yin, G (2009) Bayesian generalized method of moments | 0.822 | 6 | 2 | 83% |
| 6 | Mertens, K. and Ravn, M. O (2013) The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States | 0.811 | 4 | 2 | 100% |
| 7 | Montiel Olea, J. L., Plagborg-Mller, M., and Qian, E (2022) Svar identification from higher moments: Has the simultaneous causality problem been solved? | 0.811 | 4 | 2 | 100% |
| 8 | Keweloh, S. A (2024) Uncertain short-run restrictions and statistically identified structural vector autoregressions self | 0.737 | 5 | 3 | 40% |
| 9 | Caldara, D. and Herbst, E (2019) Monetary policy, real activity, and credit spreads: Evidence from bayesian proxy svars | 0.737 | 3 | 2 | 100% |
| 10 | Schlaak, T., Rieth, M., and Podstawski, M (2023) Monetary policy, external instruments, and heteroskedasticity | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 66 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2403.08753 | 0.811 | 4 | 2 |
| 2 | A large non-Gaussian structural VAR with application to Monetary Policy | 0.405 | 1 | 1 |
| 3 | Beyond Validity: SVAR Identification Through the Proxy Zoo | 0.405 | 1 | 1 |