https://www.alexanderkriwoluzky.com/tags/sign-restrictions/ Recent content in Sign Restrictions on Alexander Kriwoluzky Hugo en Thu, 01 Mar 2012 00:00:00 +0000 https://www.alexanderkriwoluzky.com/publications/prea/prea/ Thu, 01 Mar 2012 00:00:00 +0000 https://www.alexanderkriwoluzky.com/publications/prea/prea/ <h5 id="abstract">Abstract <a href="#abstract"></a> </h5> <p>An econometric strategy to identify a pre-announced fiscal policy shock is proposed. I show that the reduced form innovations can be recovered by estimating a Vector-moving-average model using the Kalman filter. The structural effects are identified exploiting the shock&rsquo;s pre-announced nature, which leads to potentially different signs of the responses of some endogenous variables during the announcement and after the realization of the shock. I illustrate my strategy by identifying a pre-announced shock to government consumption expenditures. I find that the response of private consumption is significantly negative on impact, rises and becomes significantly positive two quarters after the realization of the policy shock.</p>