Fiscal Policy Shocks in the Euro Area and the US: An Empirical Assessment

44 Pages Posted: 12 Dec 2009

See all articles by Pablo Burriel

Pablo Burriel

Banco de España

Francisco de Castro

Banco de España

Daniel Garrote

Banco de España

Esther Gordo Mora

Banco de España

Joan Paredes

European Central Bank

Javier J. Pérez

Banco de España - Research Department

Multiple version iconThere are 2 versions of this paper

Date Written: December 11, 2009

Abstract

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.

Keywords: Euro area, SVAR, Fiscal Shocks, Fiscal multipliers

JEL Classification: E62, H30

Suggested Citation

Burriel, Pablo and Castro, Francisco de and Garrote, Daniel and Gordo Mora, Esther and Paredes, Joan and Perez, Javier J., Fiscal Policy Shocks in the Euro Area and the US: An Empirical Assessment (December 11, 2009). ECB Working Paper No. 1133. Available at SSRN: https://ssrn.com/abstract=1520525

Pablo Burriel

Banco de España ( email )

Madrid 28014
Spain

Francisco de Castro

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Daniel Garrote

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Esther Gordo Mora

Banco de España ( email )

Madrid 28014
Spain

Joan Paredes

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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

Register to save articles to
your library

Register

Paper statistics

Downloads
68
Abstract Views
539
rank
258,720
PlumX Metrics