Uncertainty and nonlinear macroeconomic effects of fiscal policy in the US: a SEIVAR-based analysis

Purpose The purpose of this paper is to investigate whether the macroeconomic effects government spending shocks vary with degree uncertainty. Design/methodology/approach authors use quarterly US data from 1960 2017 and employ Self-Exciting Interacted VAR (SEIVAR) compute nonlinear generalized impulse response functions (GIRFs) an orthogonalized shock during tranquil in uncertain times. parsimonious design SEIVAR enables us focus on extreme deciles uncertainty distribution control for financing side budget, monetary policy, financial frictions consumer confidence. Findings Fiscal has positive output times, but contractionary times heightened results indicate important role endogenous Investigating different purposes, only increases research development expenditures reduce boost Originality/value contribute literature using a method which allows large set confounding factors accounts response.