Replication data for: Fiscal Volatility Shocks and Economic Activity

Keith Kuester, Jesús Fernández-Villaverde, Pablo Guerrón-Quintana & Juan Rubio-Ramírez
We study how unexpected changes in uncertainty about fiscal policy affect economic activity. First, we estimate tax and spending processes for the United States with time-varying volatility to uncover evidence of time-varying volatility. Second, we estimate a VAR for the US economy using the time-varying volatility found in the previous step. Third, we feed the tax and spending processes into an otherwise standard New Keynesian model. Both in the VAR and in the model, we...
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