论文标题
通过灵活的本地预测进行冲动响应估算
Impulse response estimation via flexible local projections
论文作者
论文摘要
本文介绍了一种灵活的本地投影，该投影将Jordá（2005）概括为使用贝叶斯添加回归树的非参数设置。蒙特卡洛实验表明，我们的BART-LP模型能够捕获脉冲响应中的非线性。我们的第一个申请表明，财政乘数在经济衰退中比仅在收缩财政冲击的情况下更强大，但没有响应扩张性财政冲击。然后，我们表明，当冲击是负面时，财务冲击会对经济产生影响，而震动是负面的，而当冲击是积极的时，则不会按比例增加。
This paper introduces a flexible local projection that generalizes the model by Jordá (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 in 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.
