Measuring fiscal spillovers in EMU and beyond: A global VAR approach

Ansgar Belke and Thomas Osowski

No 661, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: This paper identifies and measures fiscal spillovers in the EU countries empirically using a global vector autoregression (GVAR) model. Our aim is to look at the sign and the absolute values of fiscal spillovers in a country-wise perspective and at the time profile (impulse response) of the impacts of fiscal shocks. We find moderate spillover effects of fiscal policy shocks originating in Germany and France. However, there is significant variation regarding magnitude of the spillovers among destination countries and country clusters. Furthermore, we find some evidence that spillovers generated by German or French fiscal spillovers are stronger for EMU than non-EMU countries in Europe.

Keywords: EMU versus "Rest of Europe"; fiscal policy coordination; fiscal spillovers; GVAR analysis; regional shocks; impulse response analysis; trade weights (search for similar items in EconPapers)
JEL-codes: C50 E61 F15 F42 H60 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-eec and nep-mac
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Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Measuring fiscal spillovers in EMU and beyond: A Global VAR approach (2019)
Working Paper: Measuring fiscal spillovers in EMU and beyond: A Global VAR approach (2017)
Working Paper: Measuring fiscal spillovers in EMU and beyond: A Global VAR approach (2016)
Working Paper: Measuring fiscal spillovers in EMU and beyond: A global VAR approach (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwirep:661

DOI: 10.4419/86788767

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