A quarterly fiscal database for the euro area based on intra-annual fiscal information
AbstractThe 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 biannual 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). JEL Classification: C53, E6, H6.
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Bibliographic InfoPaper provided by European Central Bank in its series Working Paper Series with number 1132.
Date of creation: Dec 2009
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Other versions of this item:
- Joan Paredes & Diego J. Pedregal & Javier J. Pérez, 2009. "A quarterly fiscal database for the euro area based on intra-annual fiscal information," Banco de Espaï¿½a Working Papers 0935, Banco de Espa�a.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
- H6 - Public Economics - - National Budget, Deficit, and Debt
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-10 (All new papers)
- NEP-CBA-2010-01-10 (Central Banking)
- NEP-ECM-2010-01-10 (Econometrics)
- NEP-EEC-2010-01-10 (European Economics)
- NEP-MAC-2010-01-10 (Macroeconomics)
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