Data for: Noisy fiscal policy

We show how to empirically identify the relative weight of news and noise shocks to government spending and compute the level of noise for Canada, the UK and the US. We then investigate the quantitative implications of imperfect fiscal policy information using a medium-scale DSGE model.

We find that when the government seeks to implement a persistent change in expected public spending, the existence of noise (as estimated using actual data) implies a sizable difference in fiscal multipliers compared to the perfect fiscal foresight case.