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Measuring fiscal spillovers in EMU and beyond: A Global VAR approach
Author(s) -
Belke Ansgar H.,
Osowski Thomas U.
Publication year - 2019
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/sjpe.12172
Subject(s) - spillover effect , economics , vector autoregression , structural vector autoregression , fiscal policy , macroeconomics , impulse response , german , monetary economics , econometrics , monetary policy , mathematical analysis , history , mathematics , archaeology
This paper identifies and measures fiscal spillovers in the EU countries empirically using a global vector autoregression (GVAR) model. Our aim was to look at the sign and the absolute values of fiscal spillovers in a countrywise perspective and at the time profile (impulse response) of the impacts of fiscal shocks. We find moderate spillover effects of fiscal policy shocks originating in Germany and France. However, there is significant variation regarding the magnitude of the spillovers on individual destination countries and country clusters. Furthermore, we find some evidence that German or French fiscal spillovers are stronger on EMU than on non‐EMU countries.