Verifying Sources of Fiscal Policy Shock Identification
WHEN
23 April 2025
Wednesday
1.30pm - 2.45pm Australia/Sydney
WHERE
City campus
City - HaymarketCB08 Dr Chau Chak Wing Building, Building 8
COST
Free admission
CONTACT
Verifying Sources of Fiscal Policy Shock Identification
We employ a spike’n’slab prior distribution to discriminate between moment conditions identifying a fiscal policy structural vector autoregression. Various sources of identification, including instrumental variables as well as symmetric and asymmetric kurtosis, are presented as moment conditions informing the estimation of the structural parameters.
Exclusion restrictions are also considered. The spike’n’slab prior is used to verify these conditions within a single MCMC run. We use a three-variable system for the US fiscal policy analysis to show that the structural parameters are identified thanks to the non-normal innovations and exclusion restrictions rather than via instruments or heteroskedasticity.
Presenter: Tomasz Wozniak