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A quarterly fiscal database for the euro area based on intra-annual fiscal information

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  • Joan Paredes

    ()
    (European Central Bank)

  • Diego J. Pedregal

    ()
    (Universidad de Castilla-La Mancha)

  • Javier J. Pérez

    ()
    (Banco de España)

Abstract

The analysis of the macroeconomic impact of fiscal policies in the euro area has been traditionally limited by the absence of quarterly fiscal data. To overcome this problem, we provide two new databases in this paper. Firstly, we construct a quarterly database of euro area fiscal variables for the period 1980-2008 for a quite disaggregated set of fiscal variables; secondly, we present a real-time fiscal database for a subset of fiscal variables, composed of bi-annual vintages of data for the euro area period (2000-2009). All models are multivariate, state-space mixed-frequencies models estimated with available national accounts fiscal data (mostly annual) and, more importantly, monthly and quarterly information taken from the cash accounts of the governments. We provide not seasonally and seasonally-adjusted data. Focusing solely on intra-annual fiscal information for interpolation purposes allows us to capture genuine intra-annual "fiscal" dynamics in the data. Thus, we provide fiscal data that avoid some problems likely to appear in studies using fiscal time series interpolated on the basis of general macroeconomic indicators, namely the well-known decoupling of tax collection from the evolution of standard macroeconomic tax bases (revenue windfalls/shortfalls).

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/09/Fic/dt0935e.pdf
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0935.

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Length: 45 pages
Date of creation: Dec 2009
Date of revision:
Handle: RePEc:bde:wpaper:0935

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Keywords: Euro area; Fiscal policies; Interpolation; Unobserved Components models; Mixed-frequencies;

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References

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  1. Bosker, E.M., 2006. "On the aggregation of eurozone data," Economics Letters, Elsevier, vol. 90(2), pages 260-265, February.
  2. Croushore, Dean & Evans, Charles L., 2006. "Data revisions and the identification of monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1135-1160, September.
  3. Dean Croushore & Tom Stark, 2003. "A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter?," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 605-617, August.
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Cited by:
  1. Ricardo Silva & Vitor Manuel Carvalho & Ana Paula Ribeiro, 2013. "How large are fiscal multipliers? A panel-data VAR approach for the Euro area," FEP Working Papers 500, Universidade do Porto, Faculdade de Economia do Porto.
  2. Fabio Canova & Evi Pappa, 2011. "Fiscal policy, pricing frictions and monetary accommodation," Economic Policy, CEPR & CES & MSH, vol. 26(68), pages 555-598, October.
  3. Robert Kollmann & Marco Ratto & Werner Roeger & Jan in't Veld, 2012. "Fiscal policy, banks and the financial crisis," Working Paper Research 234, National Bank of Belgium.
  4. Pablo Burriel & Francisco de Castro & Daniel Garrote & Esther Gordo & Joan Paredes & Javier J. Pérez, 2009. "Fiscal policy shocks in the euro area and the US: an empirical assessment," Banco de Espa�a Working Papers 0930, Banco de Espa�a.
  5. Asimakopoulos, Stylianos & Paredes, Joan & Warmedinger, Thomas, 2013. "Forecasting fiscal time series using mixed frequency data," Working Paper Series 1550, European Central Bank.
  6. Gunter Coenen & Roland Straub & Mathias Trabandt, 2012. "Gauging the effects of fiscal stimulus packages in the Euro area," International Finance Discussion Papers 1061, Board of Governors of the Federal Reserve System (U.S.).
  7. Giovanni Callegari & Giovanni Melina & Nicoletta Batini, 2012. "Successful Austerity in the United States, Europe and Japan," IMF Working Papers 12/190, International Monetary Fund.
  8. Francisco de Castro & Daniel Garrote, 2012. "The effects of fiscal shocks on the exchange rate in the EMU and differences with the US," Banco de Espa�a Working Papers 1224, Banco de Espa�a.
  9. Kuper, Gerard & Jacobs, Jan & He, Xiaoli & Ligthart, Jenny, 2013. "On the impact of the global financial crisis on the euro area," Research Report 13011-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

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