Should quarterly government finance statistics be used for fiscal surveillance in Europe?
We use a newly available dataset of euro area quarterly national accounts fiscal data and construct multivariate state space mixed-frequencies models for the government deficit, revenue and expenditure in order to assess its information content and potential use for fiscal forecasting and monitoring purposes. The models are estimated using annual and quarterly national accounts fiscal data, but also incorporate monthly information taken from the cash accounts of the governments. The results show the usefulness of our approach for real-time fiscal policy surveillance in Europe, given the current policy framework in which the relevant official figures are expressed in annual terms.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chow, Gregory C & Lin, An-loh, 1971.
"Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series,"
The Review of Economics and Statistics,
MIT Press, vol. 53(4), pages 372-75, November.
- Tom Doan, . "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
- Tom Doan, . "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
- Namwon Hyung & Clive W.J. Granger, 2008. "Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 95-108.
- Artis, M. & Marcellino, M., 1999.
"Fiscal Forecasting: the Track Record of the IMF, OECD and EC,"
Economics Working Papers
eco99/22, European University Institute.
- Michael Artis & Massimiliano Marcellino, 2001. "Fiscal forecasting: The track record of the IMF, OECD and EC," Econometrics Journal, Royal Economic Society, vol. 4(1), pages S20-S36.
- Artis, Michael J & Marcellino, Massimiliano, 1999. "Fiscal Forecasting: the Track Record of the IMF, OECD, and EC," CEPR Discussion Papers 2206, C.E.P.R. Discussion Papers.
- 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.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies,"
NBER Working Papers
10914, National Bureau of Economic Research, Inc.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
- Clark, Todd E. & McCracken, Michael W., 2001.
"Tests of equal forecast accuracy and encompassing for nested models,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- Lu�s Gordo Mora & Jo�o Nogueira Martins, 2007. "How reliable are the statistics for the Stability and Growth Pact?," European Economy - Economic Papers 273, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
- Tommaso Proietti & Filippo Moauro, 2004.
"Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints,"
- Tommaso Proietti & Filippo Moauro, 2006. "Dynamic factor analysis with non-linear temporal aggregation constraints," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 281-300.
- 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.
- Liu, H & Hall, Stephen G, 2001. "Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 441-49, September.
- 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.
- Filippo Moauro & Giovanni Savio, 2005. "Temporal disaggregation using multivariate structural time series models," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 214-234, 07.
- Filip Keereman, 1999. "The track record of the Commission forecasts," European Economy - Economic Papers 137, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
- Andrew Harvey & Chia-Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309.
- Ángel Estrada & José Luis Fernández & Esther Moral & Ana V. Regil, 2004. "A quarterly macroeconometric model of the Spanish Economy," Banco de Espa�a Working Papers 0413, Banco de Espa�a.
- Perez, Javier J., 2007. "Leading indicators for euro area government deficits," International Journal of Forecasting, Elsevier, vol. 23(2), pages 259-275.
- Michael P. Clements & Ana Beatriz Galv�o, 2007. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth," Working Papers 616, Queen Mary University of London, School of Economics and Finance.
- Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2010.
"The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area,"
Journal of Policy Modeling,
Elsevier, vol. 32(1), pages 98-119, January.
- Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2008. "The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area," Working Paper Series 0901, European Central Bank.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:26:y::i:4:p:794-807. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.