  We empirically test the effects of unanticipated fiscal policy shocks on the
growth rate and the cyclical component of real private output and reveal
different types of asymmetries in fiscal policy implementation. The data used
are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so,
we use both a vector autoregressive and the novel support vector machines
systems in order to extract the fiscal policy shocks series. The latter has
never been used before in a similar macroeconomic setting. Within our research
framework, in order to test the robustness of our results to alternative
aggregate money supply definitions we use two alternative moentary aggregates.
These are the commonly reported by central banks and policy makers simple sum
monetary aggregates at the MZM level of aggregation and the alternative CFS
Divisia MZM aggregate. From each of these four systems we extracted four types
of shocks: a negative and a positive government spending shock and a negative
and a positive government revenue shock. These eight different types of
unanticipated fiscal policy shocks are next used to empirically examine their
effects on the growth rate and the cyclical component of real private GNP in
two sets of regressions: one that assumes only contemporaneous effects of the
shocks on output and one that is augmented with four lags of each fiscal shock.
