A global VAR model for the Eurozone: impacts of fiscal policy to monetary policy at the zero lower bound

Abstract

The global VAR models were first developed to become a consistent and more compact tool to forecast macroeconomic variables taking into account economic inter-linkages between national economies in a highly integrated economic environment. The present work intends to measure the impact of fiscal variables shocks from core and peripheral economies in the euro area, determined by the average share of total real GDP in the Eurozone, comprising here 12 countries, in order to assess the consequences of fiscal impacts for monetary policy conducted by the European Central Bank (ECB).