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Title:Fiscal spillovers in the Euro area PDF Logo
Authors:Caporale, Guglielmo Maria
Girardi, Alessandro
Issue Date:2011
Series/Report no.:CESifo working paper: Fiscal Policy, Macroeconomics and Growth 3693
Abstract: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.
Subjects:global VAR methodology
fiscal spillovers
euro area
public debt
JEL:C32
E62
F42
H63
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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