英文标题：
《Fiscal shocks and asymmetric effects: a comparative analysis》
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作者：
Ioannis Praggidis, Periklis Gogas, Vasilios Plakandaras, Theophilos
  Papadimitriou
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最新提交年份：
2013
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英文摘要：
  We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so, we use both a vector autoregressive and the novel support vector machines systems in order to extract the fiscal policy shocks series. The latter has never been used before in a similar macroeconomic setting. Within our research framework, in order to test the robustness of our results to alternative aggregate money supply definitions we use two alternative moentary aggregates. These are the commonly reported by central banks and policy makers simple sum monetary aggregates at the MZM level of aggregation and the alternative CFS Divisia MZM aggregate. From each of these four systems we extracted four types of shocks: a negative and a positive government spending shock and a negative and a positive government revenue shock. These eight different types of unanticipated fiscal policy shocks are next used to empirically examine their effects on the growth rate and the cyclical component of real private GNP in two sets of regressions: one that assumes only contemporaneous effects of the shocks on output and one that is augmented with four lags of each fiscal shock.
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中文摘要：
我们实证检验了未预期的财政政策冲击对实际私人产出的增长率和周期性成分的影响，并揭示了财政政策执行中不同类型的不对称。使用的数据是1967:1至2011:4期间美国的季度观测数据。在此过程中，我们使用向量自回归和新型支持向量机系统来提取财政政策冲击序列。后者以前从未在类似的宏观经济环境中使用过。在我们的研究框架内，为了测试我们的结果对替代货币供应总量定义的稳健性，我们使用了两种替代货币供应总量。这些是中央银行和政策制定者通常报告的MZM加总水平的简单和货币总量，以及替代的CFS Divisia MZM加总。我们从这四个系统中提取了四种类型的冲击：消极和积极的政府支出冲击，以及消极和积极的政府收入冲击。接下来，利用这八种不同类型的未预料到的财政政策冲击，在两组回归中实证检验它们对增长率和实际私人GNP周期性成分的影响：一组只假设冲击对产出的同期影响，另一组随着每次财政冲击的四个滞后而增加。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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