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

Belke, Ansgar; Osowski, Thomas

doi:10.1111/sjpe.12172

Cited by 15 publications

(11 citation statements)

References 56 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Echevarria-Icaza and Sosvilla-Rivero (2017) find that, within the euro area, spillover effects from other member countries into the domestic economy are substantial. Moreover, Belke and Osowski (2016) find that there are spillover effects of fiscal policy shocks originating in Germany and France, and these are stronger on EMU than on non-EMU countries.…”

Section: Empirical Estimations Of Fiscal Spillovers -Literature Reviewmentioning

confidence: 87%

Transmission of Fiscal Spillovers on Interest Rates in EMU

Perović¹

2020

ekoncas

View full text Add to dashboard Cite

In this paper we investigate the relationship between fiscal imbalances and long-term interest rates and assess various transmission channels of fiscal spillovers in EMU during 2002-2015. Our results support the importance of bilateral trade, informational and geographical channel of transmission, with spillovers accounting for more than 50 percent of the overall effect. Our findings suggest that if the share of public debt in GDP in all countries increases by 1 percentage point, the long-term interest rates of a given country will, on average, increase by 2.56-5.98 basis points, 1.9-3.61 basis points of which can be attributed to indirect effects.

show abstract

Section: Empirical Estimations Of Fiscal Spillovers -Literature Reviewmentioning

confidence: 87%

Transmission of Fiscal Spillovers on Interest Rates in EMU

Perović¹

2020

ekoncas

View full text Add to dashboard Cite

show abstract

“…Economic union with an internal single market for all members and system of funds to small economies in order to support sustainable long run economic growth creates suitable environment for possible fiscal effects between members regardless of the size of the economy (the transition is confirmed by several studies, see e.g. Beetsma and Giuliodori (2010), Faini et al (2006), Caporale and Girardi (2013) or Belke and Osowski (2019)). Fiscal policy without coordination and restrictions therefore allows each country to make decisions with respect to its current and all possible future positions relying on the help of other members.…”

Section: Introductionmentioning

confidence: 89%

Pitfalls of DSGE Model Approach in Monetary Union

Konôpková

2019

Danube

View full text Add to dashboard Cite

This paper investigates the impact of country size on the DSEG model estimation of the monetary union. Following DSGE model for fiscal policy simulations (FiMod) the union is considered to have a two-country structure, the investigated country has weight in union equal to its population share and the second country represents the rest of members. The model is estimated for different country sizes and it is found there are two areas of equilibrium instability which covers 11 of 19 European Monetary Union members. The result is in contrary with Stähler and Thomas (2012) who estimated FiMod for Spain and stated that model can be recalibrated to every member of the monetary union. According to the result the size of country matters and affects the stability of equilibrium. Therefore, special attention is paid to small economies in monetary union. The results and consequences are then discussed with examples from recent history.

show abstract

“…Louzis (2013) examines the return and volatility spillovers exclusively in the financial markets relating to the Euro. Belke and Osowski (2016) examine the sign and the absolute values of fiscal spillovers in a country-wise perspective and the time profile (impulse response) of the impacts of fiscal shocks. Nguyen, Dridi, Unsal, and Williams (2017) contribute to the discussion on inflation convergence across Sub-Saharan Africa (SSA) and its implications for the establishment of a monetary union in the region.…”

Section: Introductionmentioning

confidence: 99%

Regional Integration, Monetary Cooperation: Evidence from Global VAR Models for the Member States of the Shanghai Cooperation Organization

Khezri

Zulkhibri

Ghazal

2019

Global Journal of Emerging Market Economies

View full text Add to dashboard Cite

Using quarterly data over the 1996 Q1 to 2015 Q5 period and a global vector regression (GVAR) model, this article empirically investigates the effect of supply, demand, and external shocks on member countries of the Shanghai Cooperation Organization (SCO) in order to examine if these countries have the ground to form a monetary union. The results suggest asymmetric response of central banks in these countries to domestic and external shocks and differentials in the impulse response of the macroeconomic variables to shocks: the response of the central banks of Kyrgyzstan and Russia to domestic shocks and of Belarus, Kyrgyzstan, and Russia to external shocks are short term and severe. Based on our results, forming a monitory union may not be feasible.

show abstract

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

Cited by 15 publications

References 56 publications

Transmission of Fiscal Spillovers on Interest Rates in EMU

Transmission of Fiscal Spillovers on Interest Rates in EMU

Pitfalls of DSGE Model Approach in Monetary Union

Regional Integration, Monetary Cooperation: Evidence from Global VAR Models for the Member States of the Shanghai Cooperation Organization

Contact Info

Product

Resources

About