Arbeitspapier
Fiscal spillovers in the Euro area
This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period suggests that euro-denominated government yields are strongly linked with each other. However, financial markets seem to be able to discriminate among different issuers. Consequently, fiscal imbalances in Italy and in other peripheral countries should be closely monitored by their EMU partners and the European institutions.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 3693
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Fiscal Policy
International Policy Coordination and Transmission
National Debt; Debt Management; Sovereign Debt
- Subject
-
global VAR methodology
fiscal spillovers
euro area
public debt
Öffentliche Schulden
Spillover-Effekt
Rendite
Öffentliche Anleihe
Kapitalkosten
Eurozone
- Event
-
Geistige Schöpfung
- (who)
-
Caporale, Guglielmo Maria
Girardi, Alessandro
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2011
- Handle
- Last update
- 10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caporale, Guglielmo Maria
- Girardi, Alessandro
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2011
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Inflation expectations spillovers between the United States and euro area
Keynesian government spending multipliers and spillovers in the euro area
US-euro area term structure spillovers, implications for central banks
Keynesian government spending multipliers and spillovers in the Euro area
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Monetary and Fiscal Policies in the Euro Area
Convergence of fiscal policies in the euro area
Monetary-fiscal interactions and the euro area's malaise
Fiscal spillovers in the euro area
Fiscal spillovers in the euro area a model-based analysis
Fiscal spillovers in the euro area
Spillovers from tax shocks to the euro area
Inflation expectations spillovers between the United States and euro area
Keynesian government spending multipliers and spillovers in the euro area
US-euro area term structure spillovers, implications for central banks
Keynesian government spending multipliers and spillovers in the Euro area
Fiscal reaction function and fiscal fatigue: Evidence for the euro area
Monetary and Fiscal Policies in the Euro Area
Convergence of fiscal policies in the euro area