A Toolkit to Strengthen Government Budget Surveillance

• Autores: Diego José Pedregal Tercero, Javier J. Pérez, Antonio Jesús Sánchez Fuentes
• Localización: Hacienda Pública Española / Review of Public Economics, ISSN 0210-1173, Nº 211, 2014, págs. 117-146
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • In this paper we develop a comprehensive short-term fiscal forecasting system, useful for real-time monitoring of government�s borrowing requirement in Spain, a country that has been at the center of the recent European sovereign debt crisis, not least because of sizeable failures to meet public deficit targets. The system is made of a suite of models, with different levels of disaggregation (bottom-up vs top-down; general government vs sub-sectors) suitable for the automatic processing of the large amount of monthly/quarterly fiscal data published nowadays by Spanish statistical authorities. Our tools are instrumental for ex-ante detection of risks to official projections, and thus can help in reducing the ex-post reputational costs of budgetary deviations. On the basis of our results, we discuss how official monitoring bodies could expand, on the one hand, their toolkit to evaluate regular adherence to targets (moving beyond a legalistic approach) and, on the other, their communication policies as regards sources of risks of (ex-ante) compliance with budgetary targets.

• Referencias bibliográficas
  • Annett, A. (2006), "Enforcement and the Stability and Growth Pact: How Fiscal Policy Did and Did Not Change Under Europe's Fiscal...
  • Argimón, I. and Martí, F. (2006), "Las finanzas públicas de las Comunidades Autónomas: presupuestos y liquidaciones", Boletín Económico...
  • Artis, M. and Marcellino, M. (2001), "Fiscal forecasting: the track record of the IMF, the OECD and the EC", The Econometrics Journal,...
  • Asimakopoulos, S.; Paredes, J. and Warmedinger, T. (2013), "Forecasting fiscal time series using mixed frequency data", Working Paper...
  • Chow, G. C. and Lin, A. (1971), "Best Linear Interpolation, distribution and extrapolation of time series by related series", Review...
  • Clark, J.; Gibbons, C.; Morrissey, S.; Pooley, J.; Pye, E.; Wilcox, R. and Willard, L. (2013), "Estimates of uncertainty around budget...
  • Clements, M. P. and Galvão, A. B. (2007), "Macroeconomic forecasting with mixed frequency data: Forecasting US output growth". Working...
  • Castro, F. de; Martí, F.; Montesinos, A.; Pérez, J. J. and Sánchez, A. J. (2014), "Fiscal policies in Spain: main stylized facts revisited",...
  • Edo, V. (2012), "Los programas presupuestarios del Estado en España: metodología y análisis de las desviaciones presupuestarias 1990-2009",...
  • European Commission (2013), "Building a strengthened fiscal framework in the European Union: a guide to the Stability and Growth Pact",...
  • Fernández-Caballero, L.; Pedregal, D. J. and Pérez, J. J. (2012), "Monitoring sub-central government spending in Spain", Hacienda...
  • Frankel, J. A. and Schreger, J. (2013), "Over-optimistic official forecasts and fiscal rules in the Eurozone", Review of World Economics,...
  • Ghysels, E.; Santa-Clara, P. and Valkanov, R. (2004), "Predicting volatility: Getting the most out of return data sampled at different...
  • Gómez, N. and Guerrero, V. M. (2006), 'Restricted forecasting with VAR models: An analysis of a test for joint compatibility between restrictions...
  • Gómez, V. and Maravall, A. (1996), "Programs TRAMO (Time series Regression with Arima noise, Missing observations, and Outliers) and SEATS...
  • Guerrero, V. M. (2003), "Monthly disaggregation of a quarterly time series and forecasts of its unobservable monthly values", Journal...
  • Hameed, F. (2005), "Fiscal transparency and economic outcomes", IMF Working Paper n. 05/225. Washington: International Monetary Fund.
  • Hannon, P. (2014), "Difficulties in Forecasting Borrowing Requirements", The Wall Street Journal, 10 January 2014, available at: "blogs.wsj.com/moneybeat/2014/01/10/difficulties-in-...
  • Harvey, A. (1989), Forecasting Structural Time Series Models and the Kalman Filter. Cambridge University Press. UK.
  • Harvey, A. and Chung, C. (2000), "Estimating the underlying change in unemployment in the UK", Journal of the Royal Statistical Society,...
  • Hyung, N. and Granger, C. J. (2008), "Linking series generated at different frequencies", Journal of Forecasting, 27: 95-108.
  • Hernández de Cos, P. and Pérez, J. J. (2013a), "Sub-national public debt in Spain: political economy issues and the role of fiscal rules...
  • Hernández de Cos, P. and Pérez, J. J. (2013b), "The new budgetary stability law", Economic Bulletin, Bank of Spain, April.
  • International Monetary Fund (2010), "Fiscal transparency, accountability and risk", International Monetary Fund Policy Paper 080712....
  • Jonung, L. and Larch, M. (2006), "Fiscal policy in the EU: are official output forecasts biased?", Economic Policy: 491-534, July.
  • Kanda, D. (2002), "Assessing Monthly Progress Toward Annual Fiscal Revenue Targets", IMF WP/02/116.
  • Keereman, F. (1999), "The track record of Commission Forecasts", European Commission Economic Papers, 137.
  • Leal, A. and López Laborda, J. (2013), "Un estudio de los factores determinantes de las desviaciones presupuestarias de las Comunidades...
  • Leal, T.; Pérez, J. J.; Tujula, M. and Vidal, J.-P. (2008), "Fiscal forecasting: lessons from the literature and challenges", Fiscal...
  • Leal, T. and Pérez, J. J. (2009), "Un sistema ARIMA con agregación temporal para la previsión y el seguimiento del déficit del Estado",...
  • Leal, T. and Pérez, J. J. (2005), "Seguimiento de objetivos fiscales anuales: una aplicación con datos regionales", Investigaciones...
  • Leal, T. and Pérez, J. J. (2011), "Análisis de las desviaciones presupuestarias aplicado al caso del presupuesto del Estado", Estudios...
  • Leal, T.; Pedregal, D. J. and Pérez, J. J. (2010), "Short-term monitoring of the Spanish government balance", SERIEs.
  • Liu, H. and Hall, S. G. (2001), "Creating high-frequency national accounts with state space modelling: A Monte Carlo experiment",...
  • Mariano, R. S. and Murasawa, Y. (2003), "A new coincident index of business cycles based on monthly and quarterly series", Journal...
  • Merola, R. and Pérez, J. J. (2013), "Fiscal forecast errors: governments versus independent agencies?", European Journal of Political...
  • Moauro, F. and Savio, G. (2005), "Temporal Disaggregation Using Multivariate Structural Time Series Models", Econometrics Journal,...
  • Moulin, L. and Wierts, P. (2006), How Credible are Multiannual Budgetary Plans in the EU?, Fiscal Indicators, Banca d'Italia.
  • Onorante, L.; Pedregal, D. J.; Pérez, J. J. and Signorini, S. (2009), "The usefulness of infra-annual government cash budgetary data for...
  • Paredes, J.; Pedregal, D. J. and Pérez, J. J. (2014), "Fiscal policy analysis in the euro area: expanding the toolkit", Journal of...
  • Pedregal, D. J. and Pérez, J. J. (2010), "Should quarterly government finance statistics be used for fiscal surveillance in Europe?",...
  • Pérez, J. J. (2007), "Leading Indicators for Euro Area Government Deficits", International Journal of Forecasting, 23: 259-275.
  • Pina, A. and Venes, N. (2011), "The political economy of EDP fiscal forecasts: an empirical assessment", European Journal of Political...
  • Pons, J. and Solé, A. (2001), "Racionalidad de las previsiones presupuestarias y comportamiento estratégico. El caso español", Hacienda...
  • Proietti, T. and Moauro, F. (2006), "Dynamic factor analysis with non-linear temporal aggregation constraints", Journal of the Royal...
  • Silvestrini, A.; Salto, M.; Moulin, L. and Veredas, D. (2008), "Monitoring and forecasting annual public finance deficit every month:...
  • Solé-Ollé and Bosch (2007)
  • Strauch, R.; Hallerberg, M. and von Hagen, J. (2004), "Budgetary Forecasts in Europe - The Track Record of Stability and Convergence Programmes",...
  • von Hagen, J. (2010), "Sticking to fiscal plans: the role of institutions", Public Choice, 144: 487-503.