Should quarterly government finance statistics be used for fiscal surveillance in Europe?

Pedregal, Diego J.; Pérez, Javier J.

doi:10.1016/j.ijforecast.2009.08.002

Cited by 39 publications

(28 citation statements)

References 19 publications

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“…The description in this Section follow Pedregal and Pérez (2010) and Leal et al (2010). The starting point of the modeling approach is to consider a multivariate Unobserved Components Model known as the Basic Structural Model (Harvey, 1989).…”

Section: Methodsmentioning

confidence: 99%

“…These type of models have been used with success in the field of fiscal forecasting (see e.g. Asimakopoulos et al, 2013;Pedregal and Pérez, 2010;Leal, Pedregal and Pérez, 2010). Their flexibility allows us to accommodate a number of policy-relevant exercises, most notably: (i) production of unconditional forecasts for all the variables of interest that can be used to assess in real-time the probability of meeting the annual official fiscal targets; (ii) distribution across quarters of annual fiscal forecasts (official government targets, or European Commission forecasts) on the basis of the available short-term fiscal information, to assess consistency of fiscal plans with incoming data.…”

Section: A Suite Of Modelsmentioning

confidence: 99%

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A Toolkit to Strengthen Government Budget Surveillance

2014

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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. JEL Classification: E62; E65; H6; C3; C82.

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Section: Methodsmentioning

confidence: 99%

Section: A Suite Of Modelsmentioning

confidence: 99%

A Toolkit to Strengthen Government Budget Surveillance

2014

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“…See, e.g. Pérez (2007), Silvestrini et al (2008), Pedregal and Pérez (2010), Asimakopoulos et al (2013), Pedregal et al (2014, and the references quoted therein. 7 Lundtofte and Leoni (2014) argue that governments are in most cases better informed about the future of the macroeconomy than the vast majority of private investors.…”

Section: Introductionmentioning

confidence: 99%

Fiscal Targets. A Guide to Forecasters?

2015

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Non-technical summaryUncertainty about government policies has been detrimental to economic growth over the past few years. In fact, policy-induced uncertainty has increased to record levels since the Great Recession. The uncertainty surrounding the timing and composition of fiscal consolidations matters for the success of such consolidation and fundamentally affects medium-term macroeconomic projections and thus policy actions designed in reaction to a given perceived economic situation.The uncertainty about fiscal policies in real-time is closely linked to the credibility of government plans. These plans determine specific tax changes and spending programmes, and as such, shape decisions and actions of economic agents. Nevertheless, the ability of ex-ante In this paper we address the issue of the information content of budgetary plans from a real-time perspective. We adopt the point of view of an agent who wishes to obtain an informed and independent estimate about the future course of fiscal policy during the year. To do so, the agent (econometrician) sets out a model at the quarterly frequency in which all the available information is combined: announced (ex-ante) forward-looking government plans, and high frequency fiscal data on the implementation of current (ongoing) In practical terms, we set out state-of-the-art, mixed-frequencies, time-series factor models that provide a natural framework to integrate announced plans, at the annual frequency, with data on the implementation of the plans, at the quarterly frequency. We take government consumption to be the fiscal variable defining policy in our empirical exercises, and focus on euro area ECB Working Paper 1834, August 2015 2 economies, namely Germany, France, Italy and Spain, as all these countries have been recently subject to fiscal consolidation processes but with different degrees of intensity.Following this approach we show that government targets may convey useful information about ex-post policy developments in certain circumstances, in particular when policy changes significantly, even if the track record of government plan's credibility has been poor, and when there is limited information about the implementation of plans (e.g. at the beginning of a fiscal year). This helps qualifying the above-mentioned, well-established results from a related literature that would advise against paying too much attention to policy targets, given that they are found to disp...

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“…On the development of early-warning tools for fiscal variables, a recent strand of the literature has shown that intra-annual fiscal data, when modelled appropriately, contains extremely valuable and useful information for forecasting annual fiscal aggregates, enabling earlier detection of episodes of fiscal deterioration (or improvement) than traditional methods (Pérez 2007;Silvestrini et al 2008;Onorante et al 2009;Pedregal and Pérez 2009;Leal and Pérez 2009). …”

Section: Introductionmentioning

confidence: 99%

“…Secondly, along the lines of the models by Pedregal and Pérez (2009) for euro area fiscal aggregates, the models presented in the current paper make use of annual, quarterly and monthly ESA95 fiscal figures and other relevant monthly fiscal indicators. An optimal way to use these data is to build a single model that relates data at all frequencies.…”

Section: Introductionmentioning

confidence: 99%

Short-term monitoring of the Spanish government balance

Leal

Pedregal

Pérez

2010

SERIEs

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We construct multivariate, state-space mixed-frequencies models for the main components of the Spanish General Government sector made up of blocks for each one of its subsectors: Central Government, Social Security and aggregate of Regional and Local government sectors. Each block is modelled through its total revenue and expenditure categories, and encompasses a number of indicators, depending on data availability. The mixed-frequencies approach is particularly relevant for the case of Spain, given its institutional set-up and the specific data availability for the different subsectors. All in all, we provide models detailed enough in coverage, while at the same time manageable, to be used: (1) for real-time monitoring of fiscal policies with a focus on quarterly developments of the General Government sector, (2) for the monitoring of general government sub-sectors for which intra-annual data coverage is limited (Regional and Local governments), (3) to bridge (translate) into National Accounts available monthly information for the subsectors of the general government.

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Should quarterly government finance statistics be used for fiscal surveillance in Europe?

Cited by 39 publications

References 19 publications

A Toolkit to Strengthen Government Budget Surveillance

A Toolkit to Strengthen Government Budget Surveillance

Fiscal Targets. A Guide to Forecasters?

Short-term monitoring of the Spanish government balance

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