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Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
Working Paper No. 938
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application shows that the fiscal multiplier is stronger in recession than expansion only in response to contractionary fiscal shocks, but not in response to expansionary fiscal shocks. We then show that financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock is negative, but not when the shock is positive.
Schlagwörter: 
Non-linear models
non-parametric techniques
identification
JEL: 
C14
C11
C32
E52
Dokumentart: 
Working Paper

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