scholarly journals The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Comment

2019 ◽  
Vol 109 (7) ◽  
pp. 2655-2678 ◽  
Author(s):  
Carsten Jentsch ◽  
Kurt G. Lunsford
Keyword(s):  
Confidence Intervals ◽  
Income Tax ◽  
The United States ◽  
Impulse Response Functions ◽  
Wild Bootstrap ◽  
Block Bootstrap ◽  
Structural Vector Autoregression ◽  
Moving Block Bootstrap ◽  
Tax Changes ◽  
Structural Vector

Mertens and Ravn (2013) estimate impulse response functions (IRFs) from income tax changes in a structural vector autoregression (SVAR) by using narrative accounts of tax liability changes as proxy variables. To produce confidence intervals for their IRFs, they use a residual-based wild bootstrap, which has subsequently become popular in the proxy SVAR literature. We argue that their wild bootstrap is not valid, producing confidence intervals that are much too small. Using a residual-based moving block bootstrap that is proven to be asymptotically valid, we reestimate confidence intervals for Mertens and Ravn’s (2013) IRFs and find no statistically significant effects of tax changes on output, labor, and investment. (JEL E23, E62, H24, H25, H31, H32)

Assessing the Macroeconomic Effects of Quantitative Easing: Empirical Evidence from the Federal Reserve’s Experience

2019 ◽  
Vol 67 (3-4) ◽  
pp. 233-245
Author(s):  
Achille Dargaud Fofack ◽  
Ahmet Aker ◽  
Husam Rjoub ◽  
Amin Sokhanvar
Keyword(s):  
Stock Prices ◽  
Economic Activity ◽  
The United States ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Monthly Data ◽  
Svar Model ◽  
The Us ◽  
Us Dollar ◽  
Structural Vector

This article aims at assessing the effects of the Federal Reserve’s quantitative easing (QE) programmes on both economic activity and prices in the United States. Using a structural vector autoregression (SVAR) model on monthly data from January 2007 to March 2017, it is assumed that a substantial fraction of the liquidity injected under the Federal Reserve’s quantitative easing programmes was used to artificially inflate stock prices. Furthermore, QE is assumed to be a competitive devaluation programme. The findings reveal that QE helps support economic activity, while its effect on inflation is rather small and insignificant. Besides, it is also found that QE boosts stock prices but does not have a significant effect on the US dollar.

scholarly journals The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Reply

2019 ◽  
Vol 109 (7) ◽  
pp. 2679-2691 ◽  
Author(s):  
Karel Mertens ◽  
Morten O. Ravn
Keyword(s):  
United States ◽  
Income Tax ◽  
The United States ◽  
Corporate Income Tax ◽  
Dynamic Effects ◽  
Valid Inference ◽  
Macroeconomic Effects ◽  
Tax Changes ◽  
Inference Methods

In this reply to a comment by Jentsch and Lunsford, we show that the evidence for economic and statistically significant macroeconomic effects of tax changes in Mertens and Ravn (2013) remains present for a range of asymptotically valid inference methods. (JEL E23, E62, H24, H25, H31, H32)

scholarly journals The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States

2013 ◽  
Vol 103 (4) ◽  
pp. 1212-1247 ◽  
Author(s):  
Karel Mertens ◽  
Morten O Ravn
Keyword(s):  
United States ◽  
Income Tax ◽  
The United States ◽  
Income Taxes ◽  
Dynamic Effects ◽  
Different Types ◽  
Short Run ◽  
Tax Shocks ◽  
Tax Changes ◽  
Narrative Account

This paper estimates the dynamic effects of changes in taxes in the United States. We distinguish between changes in personal and corporate income taxes and develop a new narrative account of federal tax liability changes in these two tax components. We develop an estimator which uses narratively identified tax changes as proxies for structural tax shocks and apply it to quarterly post-WWII data. We find that short run output effects of tax shocks are large and that it is important to distinguish between different types of taxes when considering their impact on the labor market and on expenditure components. (JEL E23, E62, H24, H25, H31, H32)

THE REGIONAL ASYMMETRIC RESPONSES TO CENTRAL BANK’S MONETARY POLICY IN PAKISTAN

2017 ◽  
Vol 65 (02) ◽  
pp. 351-364
Author(s):  
NASEEM FARAZ ◽  
ZAINAB IFTIKHAR
Keyword(s):  
Monetary Policy ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Structural Vector Autoregression ◽  
Monetary Policy Shocks ◽  
Limited Evidence ◽  
Svar Model ◽  
Policy Shocks ◽  
National Output ◽  
Structural Vector

Literature on differential impacts of monetary policy across regions discusses several factors which may be responsible for asymmetrical effects of monetary policy. As far as Pakistan is concerned, limited evidence is available for both mechanism and impact of monetary policy. In this study, we examine asymmetries in responses of real output of provinces to central bank’s monetary policy in Pakistan. We also attempt to explore the potential sources of these asymmetries. The Structural Vector Autoregression (SVAR) model is employed to examine each province’s response to unanticipated monetary policy shocks. The generalized impulse response functions from SVAR reveal that monetary policy has varied effects across the provinces. In two regions — Punjab and Sindh — monetary policy shocks cause variations in provincial outputs in similar ways. These responses are also comparable to the response of national output to changes in monetary policy but with considerable differences in magnitudes. While other provinces Khyber Pakhtunkhawa (KPK) and Balochistan show less sensitivity to unanticipated change in monetary policy. The less sensitive regions exhibit dissimilar responses both in timings and magnitudes. These dissimilarities in regional responses draw attention to devise an effective national monetary policy that might consider the cross-provincial differences in responses to central monetary policy in Pakistan.

Tax Elasticities and the Macroeconomic Effects of Fiscal Policy in Greece

2018 ◽  
Vol 64 (1) ◽  
pp. 59-98 ◽  
Author(s):  
Andreas Zervas
Keyword(s):  
Fiscal Policy ◽  
Government Spending ◽  
Income Tax ◽  
Structural Vector Autoregression ◽  
Personal Income Tax ◽  
Vector Autoregressions ◽  
Fuel Tax ◽  
Methodological Difference ◽  
Macroeconomic Effects ◽  
Structural Vector

Abstract In this paper I explore the effects of fiscal policy, in particular of both spending and taxes, on the Greek GDP, in the form of multipliers of GDP to a shock on the relevant fiscal instrument. A novel feature of this paper is that I try to estimate the effects of particular spending and tax components on GDP. I use Structural Vector Autoregression models and contemporaneous restrictions to identify fiscal shocks. A methodological difference with traditional SVARs is that I try to estimate the elasticities of the different taxes to GDP using the transitory components of the relevant time series. The results indicate that the macroeconomic effects of different fiscal instruments vary a lot, but spending on average has a higher multiplier than taxes, while personal income tax and fuel tax have the worst impact on the economy. JEL classifications: C32, E62, H2 Keywords: Fiscal Policy, Government Spending, Taxes, Macroeconomics, Structural Vector Autoregressions

scholarly journals Tax Reform Unraveling

2007 ◽  
Vol 21 (1) ◽  
pp. 69-90 ◽  
Author(s):  
Michael J Graetz
Keyword(s):  
World War Ii ◽  
Income Tax ◽  
Tax Reform ◽  
Public Support ◽  
Ronald Reagan ◽  
The United States ◽  
Most Significant Change ◽  
To Come ◽  
The Masses ◽  
Tax Changes

The Tax Reform Act of 1986 was widely heralded as the most significant change in our nation's tax law since the income tax was extended to the masses during World War II. It was the crowning domestic policy achievement of President Ronald Reagan, who proclaimed it “the best antipoverty measure, the best pro-family measure, and the best job-creation measure ever to come out of the Congress of the United States.” The law's rate reductions and base broadening reforms were mimicked throughout the countries belonging to the OECD. Even at the time, however, reading the paeans to this legislation was like watching a Tennessee Williams play: something was terribly wrong, but nobody was talking about it. Two decades later, the changes wrought by the 1986 act have proven neither revolutionary nor stable. Tax experts now regard the 1986 act as a promise failed. The public seems to agree, and considerable public support exists for a “flat tax” or a national sales tax to replace the income tax. I shall examine the most important individual and corporate income tax changes since 1986, before turning to proposals for restructuring the nation's tax system.

Neural Networks and Bootstrap Methods for Regression Models with Dependent Errors

2009 ◽  
pp. 272-285
Author(s):  
Francesco Giordano ◽  
Michele La Rocca ◽  
Cira Perna
Keyword(s):  
Neural Network ◽  
Confidence Intervals ◽  
Network Models ◽  
Regression Function ◽  
Block Bootstrap ◽  
Nonparametric Bootstrap ◽  
Neural Network Models ◽  
Sieve Bootstrap ◽  
Moving Block Bootstrap ◽  
Hidden Layer

This chapter introduces the use of the bootstrap in a nonlinear, nonparametric regression framework with dependent errors. The aim is to construct approximate confidence intervals for the regression function which is estimated by using a single hidden layer feedforward neural network. In this framework, the use of a standard residual bootstrap scheme is not appropriate and it may lead to results that are not consistent. As an alternative solution, we investigate the AR-Sieve bootstrap and the Moving Block bootstrap, which are used to generate bootstrap replicates with a proper dependence structure. Both approaches are nonparametric bootstrap schemes, a consistent choice when dealing with neural network models which are often used as an accurate nonparametric estimation and prediction tool. In this context, both procedures may lead to satisfactory results but the AR sieve bootstrap seems to outperform the moving block bootstrap delivering confidence intervals with coverages closer to the nominal levels.

scholarly journals SVAR ANALYSIS OF THE IMPACTS OF CORPORATE TAXATION ON THE MACRO ECONOMY OF LITHUANIA

Ekonomika ◽  
2012 ◽  
Vol 91 (4) ◽  
Author(s):  
V ioleta Klyvienė ◽  
Jaunius Karmelavičius
Keyword(s):  
Fiscal Policy ◽  
Corporate Taxation ◽  
Empirical Literature ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Structural Vector Autoregression ◽  
Svar Model ◽  
Capital Tax ◽  
The Impact ◽  
Structural Vector

Abstract. This study aims to investigate the effects of tax policy on the macroeconomic variables of Lithuania. Special attention is devoted to conclusions concerning the impact of corporate taxation. The methodological framework is structural vector autoregression models identified using the Cholesky and Blanchard–Perotti approaches. Investigations of the impact of fiscal policy have been scarce in the empirical literature of Lithuania. The authors of this article use the methodology of assessing the impacts of fiscal policy that has not been used in Lithuania so for.JEL classification: E62, H25, F21.Key words: SVAR model, impulse response functions, fiscal policy, capital tax, investment

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