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Monetary policy surprises shocks under different fiscal regimes : a panel analysis of the Euro Area
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Autores
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
monetary policy surprises public debt fiscal sustainability local projection models fiscal-monetary policy mix Euro area
Contexto Educativo
Citação
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
Editora
ISEG - REM - Research in Economics and Mathematics