Fiscal Foresight: Analytics and Econometrics

By Eric M. Leeper, Todd B. Walker, Shu-Chun S. Yang. 2008

147 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/12792b9e6b5bc784ee9ef71d97bc6b8f22993b14

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

News shocks and business cycles (2011, unknown): “Leeper, Walker, and Yang (2008) stress that anticipated shocks to future state variables are potentially problematic for VAR invertibility.”
Government Investment and Fiscal Stimulus (2010, background): “…the ability of government investment to offset cyclical movements in macro aggregates: stimulative impacts of 3The impact of expectations of future fiscal policy changes, or fiscal foresight, is also studied by Yang (2005) and Leeper et al. (2008) for taxes and by Ramey (2009) for war spending.”
The output effect of fiscal consolidation plans (2015, background): “The problem that arises when analyzing fiscal plans (as clearly illustrated in Leeper et al 2008 and Leeper 2010) is that fiscal foresight – the fact that agents are informed of announced, but not yet realized, shifts in fiscal variables – causes a misalignment between the information set used by…”
Measuring Tax Multipliers: The Narrative Method in Fiscal VARs † (2012, methodology): “To understand the implication of fiscal foresight consider, as an example, the simplest RBC model, adapted from Leeper et al. (2008).”
Fiscal Policy Shocks in the Euro Area and the US: An Empirical Assessment (2010, background): “Leeper et al. (2008) analyse the difficulties that fiscal foresight introduces in the estimation and interpretation of conventional analyses of fiscal shocks; even though they show that not accounting for anticipation effects might distort the interpretation of net taxes’ shocks16, they also hint…”
News Driven Business Cycles: Insights and Challenges (2014, unknown): “They use the fact that rational expectations models imply that fiscal news are discounted at a constant rate, denoted the anticipation rate by Ljungqvist and Sargent [2004]. This parameter can be used to recover the structural shock of a fiscal VAR from its non fundamental representation. Leeper, Ri”
No News in Business Cycles (2014, unknown): “This is problematic, because when structural shocks have delayed effects on macroeconomic variables, VAR models used to estimate the effects of shocks may be affected by non-fundamentalness (Leeper et al., 2008; Feve et al., 2009; Forni and Gambetti, 2010b).”
Fiscal Foresight and Information Flows (2012, unknown): “…tax news that arrives at t would be highly correlated with a particular weighted average of current and future capital:25 kt = (α −1 + θ)kt+1 − θ(α−1 + θ)kt+2 + θ2(α−1 + θ)kt+3 − · · ·+ α−1κετ,t. (32) In Leeper, Walker, and Yang (2008) we analyze the efficacy of the ex-ante and ex-post approaches.”
Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach* (2010, background): “The analysis is analogous to Leeper et al. (2008) who study the effects of foresight about anticipated tax changes.”