Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2023
Outros Autores: Alves, José, Ionta, Serena
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/28176
Resumo: We study the effect of monetary policy surprise shocks on real output and the price level, conditioned on different fiscal stances in the period 2001Q4-2021Q4 for a panel of the 19 countries of the Euro Area. Applying local projection methodology, we find that the effect of monetary shocks depends on each country's fiscal stance, specifically, if for output response the debt is more important in the effect of monetary policy, for prices, the "Ricardian" nature of fiscal policy appears to be far more crucial. However, regarding inflation targeting, monetary policy is most effective in the low debt regime and in the high fiscal sustainability one. Our results are robust to different specifications and models and have important policy implications notably for monetary policy, which should consider different fiscal stances when pursuing specific monetary policy objectives.
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spelling Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Areamonetary policy surprisespublic debtfiscal sustainabilitylocal projection modelsfiscal-monetary policy mixEuro areaWe study the effect of monetary policy surprise shocks on real output and the price level, conditioned on different fiscal stances in the period 2001Q4-2021Q4 for a panel of the 19 countries of the Euro Area. Applying local projection methodology, we find that the effect of monetary shocks depends on each country's fiscal stance, specifically, if for output response the debt is more important in the effect of monetary policy, for prices, the "Ricardian" nature of fiscal policy appears to be far more crucial. However, regarding inflation targeting, monetary policy is most effective in the low debt regime and in the high fiscal sustainability one. Our results are robust to different specifications and models and have important policy implications notably for monetary policy, which should consider different fiscal stances when pursuing specific monetary policy objectives.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioAlves, JoséIonta, Serena2023-08-23T10:33:34Z2023-082023-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/28176engAfonso, António, José Alves e Serena Ionta (2023). "Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area". REM Working paper series, nº 0284/20232184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-27T01:32:19Zoai:www.repository.utl.pt:10400.5/28176Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:27:36.551873Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
title Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
spellingShingle Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
Afonso, António
monetary policy surprises
public debt
fiscal sustainability
local projection models
fiscal-monetary policy mix
Euro area
title_short Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
title_full Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
title_fullStr Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
title_full_unstemmed Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
title_sort Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
author Afonso, António
author_facet Afonso, António
Alves, José
Ionta, Serena
author_role author
author2 Alves, José
Ionta, Serena
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Alves, José
Ionta, Serena
dc.subject.por.fl_str_mv monetary policy surprises
public debt
fiscal sustainability
local projection models
fiscal-monetary policy mix
Euro area
topic monetary policy surprises
public debt
fiscal sustainability
local projection models
fiscal-monetary policy mix
Euro area
description We study the effect of monetary policy surprise shocks on real output and the price level, conditioned on different fiscal stances in the period 2001Q4-2021Q4 for a panel of the 19 countries of the Euro Area. Applying local projection methodology, we find that the effect of monetary shocks depends on each country's fiscal stance, specifically, if for output response the debt is more important in the effect of monetary policy, for prices, the "Ricardian" nature of fiscal policy appears to be far more crucial. However, regarding inflation targeting, monetary policy is most effective in the low debt regime and in the high fiscal sustainability one. Our results are robust to different specifications and models and have important policy implications notably for monetary policy, which should consider different fiscal stances when pursuing specific monetary policy objectives.
publishDate 2023
dc.date.none.fl_str_mv 2023-08-23T10:33:34Z
2023-08
2023-08-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/28176
url http://hdl.handle.net/10400.5/28176
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António, José Alves e Serena Ionta (2023). "Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area". REM Working paper series, nº 0284/2023
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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