The paper develops empirical measures to estimate the strength and dymanic of fiscal spillover effects in the Euro Area. It moves for estimating a Bayesian VAR model of real and financial variables in order to examine in depth economic policy coordination and policy making, with a strong attention on the current financial crisis. Spillovers are estimated recursively with weakly-exogenous common factors. The aim of the project accounts for interdependencies across countries within the Euro Area and derives impulse response functions and conditional forecasts with the output of an Monte Carlo Marco Chain (MCMC) routine. However, the paper attempts to estimate the systemic contribution and cross-country transmission of unexpected shocks on the productivity in the EA between June 1995 and March 2014. Overall, the positive impact on outputs in the financial dimension indicates the importance of coordinated fiscal actions in the EA. Shocks overflow in a heterogeneous way across countries. Moreover, financial variables show higher amplification of spillover effects which can be seen as a result of increased interdependence between variables. Finally, the analysis is consistent and robust with the more recent literature on business cycles, which recognizes the importance of both group-specific and global factors in evaluating cross-country spillovers and responses to an unexpected shocks.

Heterogeneity, commonality and interdependence in the euro area: size and dynamics of fiscal spillover effects in macroeconomic-financial linkages / Pacifico, Antonio. - (2014 Dec 15).

Heterogeneity, commonality and interdependence in the euro area: size and dynamics of fiscal spillover effects in macroeconomic-financial linkages

Pacifico, Antonio
2014-12-15

Abstract

The paper develops empirical measures to estimate the strength and dymanic of fiscal spillover effects in the Euro Area. It moves for estimating a Bayesian VAR model of real and financial variables in order to examine in depth economic policy coordination and policy making, with a strong attention on the current financial crisis. Spillovers are estimated recursively with weakly-exogenous common factors. The aim of the project accounts for interdependencies across countries within the Euro Area and derives impulse response functions and conditional forecasts with the output of an Monte Carlo Marco Chain (MCMC) routine. However, the paper attempts to estimate the systemic contribution and cross-country transmission of unexpected shocks on the productivity in the EA between June 1995 and March 2014. Overall, the positive impact on outputs in the financial dimension indicates the importance of coordinated fiscal actions in the EA. Shocks overflow in a heterogeneous way across countries. Moreover, financial variables show higher amplification of spillover effects which can be seen as a result of increased interdependence between variables. Finally, the analysis is consistent and robust with the more recent literature on business cycles, which recognizes the importance of both group-specific and global factors in evaluating cross-country spillovers and responses to an unexpected shocks.
Fiscal Policy. Cross-country Spillovers. Impulse Responses. Conditional Forecasts. Bayesian VAR. Financial Crisis. Common Features. Causality. Catching-up. Competitiveness.
Heterogeneity, commonality and interdependence in the euro area: size and dynamics of fiscal spillover effects in macroeconomic-financial linkages / Pacifico, Antonio. - (2014 Dec 15).
File in questo prodotto:
File Dimensione Formato  
20141215-pacifico-abstract-eng.pdf

Open Access

Tipologia: Abstract
Licenza: Non specificato
Dimensione 221.13 kB
Formato Adobe PDF
221.13 kB Adobe PDF Visualizza/Apri
20141215-pacifico.pdf

Open Access

Tipologia: Tesi di dottorato
Licenza: Non specificato
Dimensione 3.9 MB
Formato Adobe PDF
3.9 MB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/201004
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact