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Fiscal policy shocks in the euro area and the US: an empirical assessment

Listed author(s):
  • Pablo Burriel

    ()

    (Banco de España)

  • Francisco de Castro

    ()

    (Banco de España)

  • Daniel Garrote

    ()

    (Banco de España)

  • Esther Gordo

    ()

    (Banco de España)

  • Joan Paredes

    ()

    (european central bank)

  • Javier J. Pérez

    ()

    (Banco de España)

We analyse the impact of fiscal policy shocks in the euro area as a whole, using a newly available quarterly dataset of fiscal variables for the period 1981-2007. To allow for comparability with previous results on euro area countries and the US, we use a standard structural VAR framework, and study the impact of aggregated and disaggregated government spending and net taxes shocks. In addition, to frame euro area results, we apply the same methodology for the same sample period to US data. We also explore the sensitivity of the provided results to the inclusion of variables aiming at measuring "financial stress" (increases in risk) and "fiscal stress" (sustainability concerns). Analysing US and euro area data with a common methodology provides some interesting insights on the interpretation of fiscal policy shocks.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/09/Fic/dt0930e.pdf
File Function: First version, December 2009
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Paper provided by Banco de España & Working Papers Homepage in its series Working Papers with number 0930.

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Length: 41 pages
Date of creation: Dec 2009
Handle: RePEc:bde:wpaper:0930
Contact details of provider: Web page: http://www.bde.es/

Web page: http://www.bde.es/bde/en/secciones/informes/Publicaciones_se/docs/
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