Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/215043 
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8041
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
We explore the reaction of the euro area periphery sovereigns' fiscal positions to an unconventional monetary policy shock. We estimate panel vector autoregressive (VAR) models over the period 2010-2018, and identify the shock by imposing sign restrictions. Our results suggest that the sovereigns' fiscal positions improve in response to the economic expansion induced by an expansionary non-standard monetary policy innovation which lowers sovereign CDS spreads. Moreover, we observe that fiscal discipline is maintained rather than undermined.
Subjects: 
euro area periphery sovereigns
fiscal position
unconventional monetary policy
panel vector autoregressive model
JEL: 
E52
E62
H62
H63
Document Type: 
Working Paper
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