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

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  • Paredes, Joan
  • Pedregal, Diego J.
  • Pérez, Javier J.

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 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

Suggested Citation

  • Paredes, Joan & Pedregal, Diego J. & Pérez, Javier J., 2009. "A quarterly fiscal database for the euro area based on intra-annual fiscal information," Working Paper Series 1132, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20091132
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    Cited by:

    1. Stähler, Nikolai & Gadatsch, Niklas & Hauzenberger, Klemens, 2014. "Getting into GEAR: German and the Rest of Euro Area Fiscal Policy During the Crisis," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100460, Verein für Socialpolitik / German Economic Association.
    2. Ghysels, Eric & Ozkan, Nazire, 2015. "Real-time forecasting of the US federal government budget: A simple mixed frequency data regression approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1009-1020.
    3. Gunter Coenen & Roland Straub & Mathias Trabandt, 2012. "Fiscal Policy and the Great Recession in the Euro Area," American Economic Review, American Economic Association, vol. 102(3), pages 71-76, May.
    4. Sacchi, Agnese & Salotti, Simone, 2015. "The impact of national fiscal rules on the stabilisation function of fiscal policy," European Journal of Political Economy, Elsevier, vol. 37(C), pages 1-20.
    5. Fabio Canova & Evi Pappa, 2011. "Fiscal policy, pricing frictions and monetary accommodation," Economic Policy, CEPR;CES;MSH, vol. 26(68), pages 555-598, October.
    6. Coenen, Günter & Straub, Roland & Trabandt, Mathias, 2013. "Gauging the effects of fiscal stimulus packages in the euro area," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 367-386.
    7. He, Xiaoli & Jacobs, Jan & Kuper, Gerard & 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).
    8. Paniagua, Jordi & Sapena, Juan & Tamarit, Cecilio, 2017. "Fiscal sustainability in EMU countries: A continued fiscal commitment?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 85-97.
    9. Warmedinger, Thomas & Paredes, Joan & Asimakopoulos, Stylianos, 2013. "Forecasting fiscal time series using mixed frequency data," Working Paper Series 1550, European Central Bank.
    10. Gadatsch, Niklas & Hauzenberger, Klemens & Stähler, Nikolai, 2015. "German and the rest of euro area fiscal policy during the crisis," Discussion Papers 05/2015, Deutsche Bundesbank.
    11. repec:eee:jimfin:v:74:y:2017:i:c:p:147-164 is not listed on IDEAS
    12. Giovanni Callegari & Giovanni Melina & Nicoletta Batini, 2012. "Successful Austerity in the United States, Europe and Japan," IMF Working Papers 12/190, International Monetary Fund.
    13. Kollmann, Robert & Ratto, Marco & Roeger, Werner & in′t Veld, Jan, 2013. "Fiscal policy, banks and the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 387-403.
    14. Francisco Castro & Daniel Garrote, 2015. "The effects of fiscal shocks on the exchange rate in the EMU and differences with the USA," Empirical Economics, Springer, vol. 49(4), pages 1341-1365, December.
    15. António Afonso & António Jorge Silva, 2014. "The Monetary Transmission Mechanism in the Euro Area: has it changed with the EMU? A VAR approach, with fiscal policy and financial stress considerations," Working Papers Department of Economics 2014/10, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    16. Jacopo Cimadomo & Antonello D'Agostino, 2016. "Combining Time Variation and Mixed Frequencies: an Analysis of Government Spending Multipliers in Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1276-1290, November.
    17. Markus Kirchner & Jacopo Cimadomo & Sebastian Hauptmeier, 2010. "Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces," Tinbergen Institute Discussion Papers 10-021/2, Tinbergen Institute.
    18. Diego J. Pedregal & Javier J. Pérez & A. Jesús Sánchez-Fuentes, 2014. "A toolkit to strengthen government budget surveillance," Working Papers 1416, Banco de España;Working Papers Homepage.
    19. Pablo Burriel & Francisco de Castro & Daniel Garrote & Esther Gordo & Joan Paredes & Javier J. Pérez, 2010. "Fiscal Policy Shocks in the Euro Area and the US: An Empirical Assessment," Fiscal Studies, Institute for Fiscal Studies, vol. 31(2), pages 251-285, June.
    20. repec:cai:recosp:reco_hs02_0159 is not listed on IDEAS
    21. Francisco de Castro & Francisco Martí & Antonio Montesinos & Javier J. Pérez & A. Jesús Sánchez-Fuentes, 2014. "Fiscal policies in Spain: Main stylises facts revisited," Working Papers 1408, Banco de España;Working Papers Homepage.
    22. 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.
    23. Attinasi, Maria Grazia & Metelli, Luca, 2017. "Is fiscal consolidation self-defeating? A panel-VAR analysis for the Euro area countries," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 147-164.

    More about this item

    Keywords

    euro area; fiscal policies; interpolation; mixed frequencies; unobserved components models;

    JEL classification:

    • 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

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