us_fiscal_sww: A 10-variable US fiscal system for the period 1948 Q1 - 2025...

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

A 10-variable US fiscal system for the period 1948 Q1 – 2025 Q3

Description

A system used to identify the US fiscal policy shocks used by Shang, Wang, Woźniak (2026). Last data update was implemented on 2026-08-18.

Usage

data(us_fiscal_sww)

Format

A matrix and a ts object with time series of over three hundred observations on 10 variables:

ttr

quarterly US total tax revenue expressed in log, real, per person terms

gs

quarterly US total government spending expressed in log, real, per person terms

gdp

quarterly US gross domestic product expressed in log, real, per person terms

FFR

quarterly Federal Funds Effective Rate

cons

quarterly private consumption expressed in log, real, per person terms

rw

quarterly real wages expressed in log, real, per person terms

inv

quarterly private non-residential investment expressed in log, real, per person terms

m2

quarterly Monetary Base M2SL expressed in log, real, per person terms

ppiic

quarterly Producer Price Index by Commodity: Industrial Commodities expressed in log, real, per person terms

pi

quarterly inflation rate expressed in log, real, per person terms

The system was defined by Mountford, Uhlig (2009) and used by Shang, Wang, Woźniak (2026).

Source

U.S. Bureau of Economic Analysis, National Income and Product Accounts, https://www.bea.gov/

FRED Economic Database, Federal Reserve Bank of St. Louis, https://fred.stlouisfed.org/

References

Lütkepohl, H., Shang, F., Uzeda, L., and Woźniak, T. (2025) Partial identification of structural vector autoregressions with non-centred stochastic volatility. Journal of Econometrics 256, 106107, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jeconom.2025.106107")}.

Mountford, A. and H. Uhlig (2009) What are the effects of fiscal policy shocks? Journal of Applied Econometrics 24, 960–992., \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/jae.1079")}.

Examples

data(us_fiscal_sww)   # upload the data
plot(us_fiscal_sww)   # plot the data

bsvars documentation built on Aug. 22, 2026, 5:09 p.m.