Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/74645
Authors: 
Born, Benjamin
Peter, Alexandra
Pfeifer, Johannes
Year of Publication: 
2011
Series/Report no.: 
Bonn Econ Discussion Papers 08/2011
Abstract: 
This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an estimated New Keynesian DSGE model. While fiscal policy accounts for 12 to 20 percent of output variance at business cycle frequencies, the anticipated component hardly matters for explaining fluctuations of real variables. Anticipated capital tax shocks do explain a sizable part of inflation and interest rate fluctuations, accounting for between 5 and 15 percent of total variance. In line with earlier studies, news shocks in total account for 20 percent of output variance. Further decomposing this news effect, we find that it is mostly driven by stationary TFP and non-stationary investment-specific technology.
Subjects: 
Anticipated Tax Shocks
Sources of Aggregate Fluctuations
Bayesian Estimation
JEL: 
E32
E62
C11
Document Type: 
Working Paper

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