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Early-warning tools to forecast general government deficit in the euro area: the role of intra-annual fiscal indicators

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  • Pérez, Javier J.

Abstract

In this paper I evaluate the usefulness of a set of fiscal indicators as early-warning-signal tools for annual General Government Net Lending developments for some EMU countries (Belgium, Germany, Spain, France, Italy, The Netherlands, Ireland, Austria, Finland) and an EMU aggregate. The indicators are mainly based on monthly and quarterly public accounts’ figures. I illustrate how the dynamics of the indicators show a remarkable performance when anticipating general government accounts’ movements, both in qualitative and in quantitative terms. JEL Classification: C53, E6, H6

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Paper provided by European Central Bank in its series Working Paper Series with number 0497.

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Date of creation: Jun 2005
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Handle: RePEc:ecb:ecbwps:20050497

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Keywords: European Monetary Union; Fiscal forecasting and monitoring; General Government Deficit; leading indicators;

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  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  2. Artis, M. & Marcellino, M., 1999. "Fiscal Forecasting: the Track Record of the IMF, OECD and EC," Economics Working Papers eco99/22, European University Institute.
  3. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
  4. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  5. repec:fth:eeccco:137 is not listed on IDEAS
  6. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," CORE Discussion Papers 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  8. Gonzalo Camba-Mendez & Ana Lamo, 2004. "Short-term monitoring of fiscal policy discipline," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 247-265.
  9. Fullerton, Thomas Jr., 1989. "A composite approach to forecasting state government revenues: Case study of the Idaho sales tax," International Journal of Forecasting, Elsevier, vol. 5(3), pages 373-380.
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Cited by:
  1. Isabel Argimón & Francisco Martí, 2007. "Available data on-budget and off-budget activities of Spanish central, state and local governments," MNB Conference Volume, Magyar Nemzeti Bank (the central bank of Hungary), vol. 1(1), pages 43-54, December.

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