A quarterly fiscal database fit for macroeconomic analysis

• Francisco de Castro ^[3] ; Francisco Martí ^[1] ; Antonio Montesinos ^[1] ; Javier J. Pérez ^[1] ; Antonio Jesús Sánchez Fuentes ^[2]
  1. [1] Banco de España

     Banco de España

     Madrid, España

     
  2. [2] Universidad Complutense de Madrid

     Universidad Complutense de Madrid

     Madrid, España

     
  3. [3] Comisión Europea

  Mostrar afiliaciones +
• Localización: Hacienda Pública Española / Review of Public Economics, ISSN 0210-1173, Nº 224, 2018, págs. 139-155
• Idioma: inglés
• DOI: 10.7866/hpe-rpe.18.1.5
• Enlaces
  • Texto completo (pdf)
• Dialnet Métricas: 2 Citas
• Resumen

  • The study of the macroeconomic effects of tax changes and public spending plans has regained footing recently. Nevertheless, in many occasions, the shortcomings of available official data pose limits to the type of approach analysts can pursue. While this issue receives traditionally limited attention, it is of utmost relevance for policy makers and academics alike. Against this framework, in this paper we construct a quite disaggregated quarterly fiscal database of Spanish seasonallyadjusted public finance variables for the period 1986Q1-2015Q4, in national accounts terms. Following a recent strand of the literature, we pose special emphasis on the models and data ingredients used. The later includes a rich set of input fiscal data taken from budgetary accounts. We illustrate the use of our data by providing key stylized facts on the cyclical properties of fiscal policies over the past three decades.

• Referencias bibliográficas
  • Afonso, A. and Furceri, D. (2010), 'Government size, composition, volatility and economic growth', European journal of Political Economy,...
  • Albonico, A., Paccagnini, A. and Tirelli, P. (2016), 'In search of the Euro Area Fiscal Stance', DEMS Working Paper 324
  • Alesina, A. and Tabellini, G. (2005), 'Why is Fiscal Policy Often Procyclical?', NBER Working Paper 11.600
  • André, F. J., Marín, R. and Pérez, J. J. (2002), 'Computing white stylised facts on co-movement', Economics Letters, 76: 65-71
  • André, F. J. and Pérez, J. J. (2005), 'Robust stylized facts on comovement for the Spanish economy', Applied Economics, 37: 453-462
  • Andrés, J., Pérez, J. J. and Rojas, J. A. (2017), 'Implicit public debt thresholds: an empirical exercise for the case of Spain',...
  • Boscá, J. E., Bustos, A., Díaz, A., Doménech, R., Ferri, J., Pérez, E. and Puch, L. (2007), 'The REMSDB Macroeconomic Database of the...
  • Boscá, J. E., Díaz, A., Doménech, R., Ferri, J., Pérez, E. and Puch, L. (2011), 'A rational expectations model for simulation and policy...
  • Bouthevillain, C., Caruana, J., Checherita, C., Cunha, J., Gordo, E., Haroutunian, S., Hubic, A., Langenus, G., Manzke, B., Pérez, J. J. and...
  • Buti, M. and Rodríguez-Muñoz, L. (2016), 'Why we need a positive fiscal stance for the Eurozone and what it means', VOXEU.org column,...
  • Christiano, L. J. and Fitzgerald, T. J. (2003), 'The Band Pass Filter', International Economic Review, 44: 435-465
  • de Castro, F. and Hernández de Cos, P. (2008), 'The economic effects of fiscal policy: the case of Spain', Journal of Macroeconomics,...
  • de Castro, F. and Fernández-Caballero, L. (2013), 'The Effects of Fiscal Shocks on the Exchange Rate in Spain', The Economic and Social...
  • Dilnot, A. (2012), 'Numbers and Public Policy: The Power of Official Statistics and Statistical Communication in Public Policymaking',...
  • Dolado, J., Sebastián, M. and Vallés, J. (1993), 'Cyclical patterns of the Spanish economy', Investigaciones Económicas, 17: 445-73
  • Esteve, V., Sapena, J., Tamarit, J. and C. (2001), 'Propiedades cíclicas y cambios estructurales en los series fiscales macroeconómicas...
  • Estrada, A., Fernández, J. L., Moral, E. and Regil, A. V. (2004), 'A quarterly macroeconometric model of the Spanish economy', Banco...
  • European Commission (2006), Manual on quarterly non-financial accounts for general government, Luxembourg: European Commission
  • European Commission (2007), 'Quarterly government accounts and fiscal surveillance', Public Finances in EMU, 103-106, Brussels: European...
  • European Commission (2012), 'Review of existing estimates of fiscal multipliers', in European Economy 4/2012, 'Public Finances...
  • Fernández-Caballero, L., Pedregal, D. J. and Pérez, J. J. (2012), 'Monitoring sub-central government spending in Spain', Hacienda...
  • Fernández de Córdoba, G., Pérez, J. J. and Torres, J. L. (2012), 'Public and private sector wages interactions in a general equilibrium...
  • Fiorito, R. (1997), 'Stylized facts on government finance in the G-7', IMF Working Paper, WP/97/141
  • Frankel, J. A., Vegh, C. and Vuletin, G. (2013), 'On graduation from fiscal procyclicality', Journal of Development Economics, 100:...
  • Galí, J. and Perotti, R. (2003), 'Fiscal Policy and Monetary Integration in Europe', Economic Policy, 18: 533-572
  • Gómez, V. and Maravall, A. (1996), 'Programs TRAMO (Time series Regression with Arima noise, Missing observations, and Outliers) and SEATS...
  • Harvey, A. (1989), Forecasting Structural Time Series Models and the Kalman Filter. Cambridge, UK: Cambride University Press
  • Harvey, A. and Chung, C. (2000), 'Estimating the underlying change in unemployment in the UK', Journal of the Royal Statistical Society,...
  • Hernández de Cos, P. and Moral Benito, E. (2016), 'Fiscal Multipliers in Turbulent Times: the Case of Spain', Empirical Economics,...
  • Lamo, A., Pérez, J. J. and Schuknecht, L. (2013), 'The cyclicality of consumption, wages and employment of the public sector in the euro...
  • Marcet, A. and Ravn, M. (2004), 'The HP-filter in cross-country comparisons', CEPR Discussion Paper 4.244
  • Marín, J. (1997), 'Efectos estabilizadores de la política fiscal', Estudios Económicos, 58, Banco de España
  • Martínez, J. and Zubiri, I. (2014), 'Los multiplicadores de la política fiscal en España', Papeles de Economía Española, 139: 174-198
  • Mendoza, E. G. and Oviedo, P. M. (2006), 'Fiscal policy and macroeconomic uncertainty in developing countries: The tale of the tormented...
  • Morris, R. and Schuknecht, L. (2007), 'Structural balances and revenue windfalls-the role of asset prices revisited', ECB Working...
  • Morris, R., Braz, C. R., de Castro, F., Jonk, S., Kremer, J., Linehan, S., Marino, M. R., Schalck, C. and Tkacevs, O. (2009), 'Explaining...
  • Ortega, E. (1998), 'The Spanish business cycle and its relationship to Europe', Banco de España Working Paper 9819
  • Paredes, J., Pedregal, D. J. and Pérez, J. J. (2014), 'Fiscal policies in the euro area: expanding the toolkit', Journal of Policy...
  • Pedregal, D. J. and Pérez, J. J. (2010), 'Should quarterly government finance statistics be used for fiscal surveillance in Europe?',...
  • Ricci-Risquete, A. and Ramajo-Hernández, J. (2015), 'Macroeconomic effects of fiscal policy in the European Union: a GVAR model',...
  • Ricci-Risquete, A., Ramajo-Hernández, J. and de Castro, F. (2016), 'Time-varying effects of fiscal policy in Spain: a Markov-switching...