Government spending shocks in open economy VARs
Forni, Mario (Università degli studi di Modena e Reggio Emilia)
Gambetti, Luca (Universitat Autònoma de Barcelona)

Data:	2016
Resum:	By using the Survey of Professional Forecasters, we provide new evidence on the openeconomy effects of government spending, focusing on a well-known puzzle in the literature, that the real exchange rate depreciates in response to a fiscal expansion. Much of government spending is well anticipated over a one year horizon. Once news and surprise shocks are treated as different shocks, there is no depreciation puzzle for news shocks while it is still there for surprise shocks. Fiscal foresight seems to lie at the heart of the different exchange rate responses to news and surprise shocks, depending on the timing of the anticipated budget adjustment following the shock. Indeed, the results are broadly consistent with the prediction of a DSGE model with spending reversals.
Ajuts:	Ministerio de Economía y Competitividad ECO2012-32392
Nota:	Altres ajuts: PRIN/2010J3LZEN003
Drets:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, la comunicació pública de l'obra i la creació d'obres derivades, fins i tot amb finalitats comercials, sempre i quan es reconegui l'autoria de l'obra original.
Llengua:	Anglès
Document:	Article ; recerca ; Versió acceptada per publicar
Matèria:	Government spending ; Survey of Professional Forecasts ; Fiscal foresight ; Non-fundamentalness ; News shocks ; Spending reversals
Publicat a:	Journal of international economics, Vol. 99 (2016) , p. 68-84, ISSN 0022-1996

DOI: 10.1016/j.jinteco.2015.11.010

Postprint 43 p, 787.6 KB

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