A Quarterly Fiscal Database for the Euro Area Based on Intra-Annual Fiscal Information

49 Pages Posted: 14 Dec 2009

See all articles by Joan Paredes

Joan Paredes

European Central Bank

Diego J. Pedregal

University of Castilla-La Mancha

Javier J. Pérez

Banco de España - Research Department

Multiple version iconThere are 2 versions of this paper

Date Written: December 11, 2009

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).

Keywords: Euro area, Fiscal policies, Interpolation, Unobserved Components models, Mixed frequencies

JEL Classification: C53, E6, H6

Suggested Citation

Paredes, Joan and Pedregal, Diego J. and Perez, Javier J., A Quarterly Fiscal Database for the Euro Area Based on Intra-Annual Fiscal Information (December 11, 2009). ECB Working Paper No. 1132. Available at SSRN: https://ssrn.com/abstract=1520524

Joan Paredes

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Diego J. Pedregal

University of Castilla-La Mancha ( email )

Plaza Universidad, 1
Cuenca 02071
Spain

Javier J. Perez (Contact Author)

Banco de España - Research Department ( email )

Alcala 50
28014 Madrid
Spain

HOME PAGE: http://www.bde.es/investigador/staff/95.htm

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