Should Quarterly Government Finance Statistics Be Used for Fiscal Surveillance in Europe?
Diego J. Pedregal
University of Castilla-La Mancha
Javier J. Perez
Bank of Spain - Research Department
September 22, 2008
ECB Working Paper No. 937
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 its potential use for fiscal forecasting and monitoring purposes. The models are estimated with 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.
Number of Pages in PDF File: 38
Keywords: Fiscal policies, Mixed frequency data, Forecasting, Unobserved Components Models, State Space, Kalman Filter
JEL Classification: C53, E6, H6working papers series
Date posted: September 22, 2008
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