This paper examines the effects of fiscal policy on GDP, prices, and interest rates in five OECD countries—United States, West Germany, United Kingdom, Canada, and Australia—using a structural Vector Autoregression (VAR) approach. The main findings are as follows: 1) The effects of fiscal policy on GDP and its components have weakened significantly over the past 20 years; 2) Tax multipliers are generally small and negative; 3) When plausible price elasticities of government spending are considered, the negative effects of government spending on prices become positive, though often small and not always significant; 4) Government spending shocks have significant effects on the real short interest rate, but with uncertain signs; 5) Net tax shocks have very small effects on prices; 6) The US is an outlier in many dimensions, with responses to fiscal shocks not representative of the average OECD country. The paper discusses four approaches to identifying fiscal policy shocks in VARs, including narrative approaches, sign restrictions, Choleski ordering, and a method based on fiscal policy decision lags and institutional information. It also addresses methodological issues, including the construction of output and price elasticities for fiscal variables. The analysis shows that fiscal policy effects vary across countries and time periods, with significant differences between the pre-1980 and post-1980 periods. The results highlight the importance of considering the role of monetary policy in fiscal policy analysis and the need for more research on the effects of fiscal policy. The paper concludes that fiscal policy has become less effective in recent decades, and that the US is an outlier in many dimensions.This paper examines the effects of fiscal policy on GDP, prices, and interest rates in five OECD countries—United States, West Germany, United Kingdom, Canada, and Australia—using a structural Vector Autoregression (VAR) approach. The main findings are as follows: 1) The effects of fiscal policy on GDP and its components have weakened significantly over the past 20 years; 2) Tax multipliers are generally small and negative; 3) When plausible price elasticities of government spending are considered, the negative effects of government spending on prices become positive, though often small and not always significant; 4) Government spending shocks have significant effects on the real short interest rate, but with uncertain signs; 5) Net tax shocks have very small effects on prices; 6) The US is an outlier in many dimensions, with responses to fiscal shocks not representative of the average OECD country. The paper discusses four approaches to identifying fiscal policy shocks in VARs, including narrative approaches, sign restrictions, Choleski ordering, and a method based on fiscal policy decision lags and institutional information. It also addresses methodological issues, including the construction of output and price elasticities for fiscal variables. The analysis shows that fiscal policy effects vary across countries and time periods, with significant differences between the pre-1980 and post-1980 periods. The results highlight the importance of considering the role of monetary policy in fiscal policy analysis and the need for more research on the effects of fiscal policy. The paper concludes that fiscal policy has become less effective in recent decades, and that the US is an outlier in many dimensions.