Publicação
The effects of monetary policy surprises and fiscal sustainability regimes in the Euro Area
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Alves, José | |
| dc.contributor.author | Ionta, Serena | |
| dc.date.accessioned | 2023-07-10T13:15:02Z | |
| dc.date.available | 2023-07-10T13:15:02Z | |
| dc.date.issued | 2023-07 | |
| dc.description.abstract | We study the effect of monetary surprise shocks on real output and the price level, conditioned on different fiscal sustainability regimes in the period 2001Q4-2021Q4. First, we estimate time-varying fiscal sustainability coefficients based on Bohn’s (1998) approach through Schlicht’s (2003) method. Then, by taking these sustainability coefficients in a nonlinear local projection model for the Euro Area (aggregate data), Germany, Italy, and Portugal, we analyze the interaction between both policies under (un)sustainable fiscal regimes. Our results show that in a Ricardian regime, output and prices respond to monetary tightening by contracting, while in a non-Ricardian regime the effect on output and price levels is negligible (or even positive). The dependence of the effectiveness of monetary policy on fiscal solvency is valid for Euro-Area and all the countries assessed, and does not depend on whether a country is “core” or “periphery”, but on the policy conduct over time. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Afonso, António, José Alves e Serena Ionta (2023). "The effects of monetary policy surprises and fiscal sustainability regimes in the Euro Area". REM Working paper series, nº 0281/2023 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27979 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG - REM - Research in Economics and Mathematics | pt_PT |
| dc.relation | UIDB/05069/2020 | pt_PT |
| dc.relation.ispartofseries | REM Working paper series;nº 0281/2023 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0281_2023.pdf | pt_PT |
| dc.subject | monetary surprises | pt_PT |
| dc.subject | fiscal sustainability | pt_PT |
| dc.subject | local-projection models | pt_PT |
| dc.subject | fiscal-monetary policy mix | pt_PT |
| dc.subject | Euro area | pt_PT |
| dc.subject | Germany | pt_PT |
| dc.subject | Italy | pt_PT |
| dc.subject | Portugal | pt_PT |
| dc.title | The effects of monetary policy surprises and fiscal sustainability regimes in the Euro Area | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |