Should Quarterly Government Finance Statistics Be Used for Fiscal Surveillance in Europe?

38 Pages Posted: 22 Sep 2008

See all articles by Diego J. Pedregal

Diego J. Pedregal

University of Castilla-La Mancha

Javier J. Pérez

Banco de España - Research Department

Date Written: September 22, 2008

Abstract

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.

Keywords: Fiscal policies, Mixed frequency data, Forecasting, Unobserved Components Models, State Space, Kalman Filter

JEL Classification: C53, E6, H6

Suggested Citation

Pedregal, Diego J. and Perez, Javier J., Should Quarterly Government Finance Statistics Be Used for Fiscal Surveillance in Europe? (September 22, 2008). ECB Working Paper No. 937, Available at SSRN: https://ssrn.com/abstract=1247066 or http://dx.doi.org/10.2139/ssrn.1247066

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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