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http://hdl.handle.net/10419/61323
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| Title: | | Fiscal spillovers in the euro area  |
| Authors: | | Caporale, Guglielmo Maria Girardi, Alessandro |
| Issue Date: | | 2011 |
| Series/Report no.: | | Discussion Papers, German Institute for Economic Research, DIW Berlin 1164 |
| 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: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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