Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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 |
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1799133544144961536 |