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Fiscal Spillovers in the Euro Area

Guglielmo Maria Caporale and Alessandro Girardi ()

No 13109, Working Papers LuissLab from Dipartimento di Economia e Finanza, LUISS Guido Carli

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.

Keywords: Global VAR methodology; fiscal spillovers; euro area; public debt; Global VAR methodology; fiscal spillovers; euro area; public debt (search for similar items in EconPapers)
JEL-codes: C32 E62 F42 H63 (search for similar items in EconPapers)
Date: 2013
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Related works:
Journal Article: Fiscal spillovers in the Euro area (2013) Downloads
Working Paper: Fiscal Spillovers in the Euro Area (2011) Downloads
Working Paper: Fiscal Spillovers in the Euro Area (2011) Downloads
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