Identifying government spending shocks and multipliers in Korea

被引：4

作者：

Lee, Eun Kyung ^{[1
]}

Park, Kwangyong ^{[2
]}

机构：

[1] Bank Korea, Financial Stabil Dept, Seoul, South Korea

[2] Bank Korea, Econ Res Inst, 55 Namdaemun Ro, Seoul, South Korea

来源：

JOURNAL OF ASIAN ECONOMICS | 2021年 / 76卷

关键词：

Fiscal policy; Multiplier; FISCAL-POLICY; PURCHASES;

D O I：

10.1016/j.asieco.2021.101366

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页数：14

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