00000cam 2200000zi 4500 9.957257 CaOODSP 20251112103438 m o d f cr cn||||||||| 251112t20252025onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-us--- FB3-5/2025-27E-PDF Amodeo, Francesco, author. High-frequency cross-sectional identification of military news shocks / Francesco Amodeo, Edoardo Briganti. [Ottawa] : Bank of Canada = Banque du Canada, 2025. ©2025 1 online resource (ii, 57 pages) : colour illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2025-27 ISSN assigned to different series. "Last updated: October 31, 2025." Includes bibliographical references (pages 54-57). "This study develops a two-step procedure to identify and quantify fiscal news shocks. First, we augment a narrative identification strategy using large language model searches to compile events (2001-2023) that altered the expected path of U.S. defense expenditure. Second, for each event, we estimate market-implied shifts in expected defense spending with cross-sectional regressions of contractors' stock returns on their reliance on military revenues. We show that this approach statistically validates each event; quantifies each shock in an intuitive, model-consistent fashion; and readily generalizes to other macroeconomic contexts. Employing the estimated shocks in a shift-share analysis yields a two-year, metropolitan statistical area-level GDP multiplier of approximately 1 for U.S. military build-ups"--Abstract, page ii. Includes abstracts in English and French. United States. Department of Defense Appropriations and expenditures Econometric models. États-Unis. Department of Defense Crédits budgétaires et dépenses Modèles économétriques. Fiscal policy Econometric models. Business cycles Econometric models. Politique fiscale Modèles économétriques. Cycles économiques Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2025-27. (CaOODSP)9.806221 PDF 3.91 MB https://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-27-eng.pdf