Im Rahmen der Working Papers werden wissenschaftliche Arbeiten publiziert. Die Papiere beleuchten vorrangig Themen der Fiskalpolitik mit speziellem Fokus auf Österreich und dienen dem wissenschaftlichen Diskurs. Die seitens der Autorinnen und Autoren zum Ausdruck gebrachte Meinung gibt nicht notwendigerweise die Meinung des Fiskalrates wieder.
On fiscal multipliers in New Keynesian small open economy models
Schuster – Working Paper 6 – Oktober 2019
This paper uses a medium-sized New Keynesian general equilibrium model of a small open economy in a monetary union to systematically quantify the sensitivity of various fiscal multiplier measures to the model's key assumptions and parameters for an array of fiscal instruments. Using a unified framework circumvents the typ- ical problems of diverging parameterizations, model extensions, shock definitions, fiscal reaction functions or multiplier measurements that come with inference from cross-study comparison and make results hard to compare. Linearity of multipliers in most parameters allows us to quickly compute rough multiplier estimates for alternative parameterizations by simply using our reported local sensitivities and a pocket calculator. Reflecting the synthesis character of the New Keynesian paradigm, the key parameters that quantitatively determine the size of multipliers differ considerably between the short and the long run. We show that ex-post multipliers should be preferred over ex-ante multipliers when ranking fiscal instruments. Rankings are sensitive to the considered time horizon, shock persistence and anticipation assumptions.
Fiscal multipliers in a small open economy: the case of Austria
Čapek, Crespo Cuaresma, Holler, Schuster – Working Paper 5 – Oktober 2019
We estimates fiscal multipliers for Austria in a framework of model uncertainty emanating from the choice of a particular econometric model to obtain point estimates of the reaction of GDP to shocks in fiscal variables. We present a comprehensive framework which allows to assess the effects of different multiplier definitions and choices related to the data, the model employed, and further technical choices associated with the specification of the model exert on fiscal multiplier estimates. The mean present-value government spending multiplier over all models entertained, based on around 3000 estimates, is 0.68. Estimates of the peak spending multiplier for Austria tend to be larger than present-value spending multipliers, with a mean value of 0.85. The magnitude of the present-value tax multiplier is relatively high, with an average value across specifications of -1.12 and the mean peak tax multiplier is -0.54 for all specifications used. In absolute value, multiplier estimates tend to be larger if they are estimated using the subset of models with the best out-of-sample predictive ability.
Long-run fiscal consequences of refugee migration – The case of Austria
Holler, Schuster – Working Paper 4 – Dezember 2018
We use a rich numerical OLG model of Auerbach-Kotlikoff type to simulate the long-run effects of refugee migration starting 2015 for a country with an aging society and a generous welfare system, namely Austria. The respective refugee cohorts are on average younger, less educated and less productive than both natives and the average migrant. The net fiscal contribution results from two opposing effects: a positive demographic effect which is counteracted by worse labor market outcomes. We robustly find that public debt is higher throughout the simulation horizon 2015-2060 compared to the baseline. We further analyze the group-specific welfare consequences resulting from differentiated wage effects.
Forecasting the term-structure of euro area swap rates and Austrian yields based on a dynamic Nelson-Siegel approach
Holler, Nebenführ, Radek – Working Paper 3 – September 2018
We employ an extended Nelson-Siegel model to produce a macro-financial framework for forecasting the euro area term-structure of interest rates and the Austrian yield curve, with a view to enabling risk management analyses and determining an optimal debt management strategy. We determine the dynamics of the term-structure by the movements of the level, slope and curvature parameters, influenced by the cyclical position of the economy and the price level. Long-term interest rates are based on the assumption that the level, slope and curvature of the yield curve and macroeconomic variables converge to their historic mean. Using in-sample and out-of-sample forecast benchmarking, we find that our model clearly outperforms the expectations hypothesis of the term-structure of the interest rates (forward rate) forecast, while a constant expectations (random walk) forecast appears to produce a superior out-of-sample performance, partly due to the existence of different policy regimes in our data sample. We then use our model to forecast the term-structure of euro area interest rates and the Austrian yield curve until 2028.
What drives forecast errors and ex-post-revisions of structural balances in the euro area?
Maidorn, Reiss – Working Paper 2 – November 2017
Using vintages of the EC projections from autumn 2007 to spring 2016, we analyze both ex-post-revisions and forecast errors of the level of and the change in the structural balance in the EA-12. Our main findings are: In general, ex-post revisions in structural balances were mainly driven by output gap revisions, while projection errors are to a significant extent driven by other factors. Not surprisingly, the role of potential output revisions shrinks when looking at the change in the structural balance, as revisions of annual potential growth tend to be smaller than level revisions. Primarily due to other factors than potential growth revisions, the mean absolute projection errors on this indicator are sizeable, and for some countries they are above the official margin of error applied on the adjustment path to the MTO even in the autumn projections for the current year. While a more detailled analysis indicates a significant role of expenditure projections in this context, projection errors based on indicators similar to the “expenditure benchmark" in the SGP are substantially smaller than for the change in the structural balance. These uncertainties may shed some doubt on how much the EU Fiscal Governance should rely on projections of “fiscal efforts".
Variable rate debt to insure the government budget against macroeconomic shocks
Fenz, Holler – Working Paper 1 – Juni 2017
Inspired by the fiscal insurance theory of public debt management we focus on the role of debt management in insuring the government budget against business cycle fluctuations. In particular we analyze the potential of inflation-indexed and short-term interest-rate-linked debt to hedge the Austrian government budget against macroeconomic demand, supply and monetary policy shocks. By employing a multi-country BVAR model for the Austrian and euro area economy over the period 1999 to 2016 we find that both instruments are able to hedge a substantial part of cyclical budget balance dynamics. The hedging potential of both instruments differs considerably when specific drivers of business cycle fluctuations are analyzed. In case of demand shocks both instruments have the potential to insure the government budget, while in case of supply shocks and monetary policy shocks this is only true for interest-rate-linked debt and inflation-indexed debt, respectively.
Die Bedeutung der Leasingfinanzierung für Österreichs Gemeinden
Grossmann, Hauth, Wimmer – März 2008
Verwaltungs- und Pensionsreformen im öffentlichen Dienst sowie Finanzierung des Krankenanstaltenwesens
Hauth, Grossmann – September 2007
Fiscal Spending Rules in Europe
Grossmann, Hauth – Monetary Policy and the Economy Q4/05
Verwaltungsreform: Einsparungsnotwendigkeiten und -potenziale
Frisch, Hauth – August 2002
Debt-Management der Republik Österreich unter den Finanzmarktgegebenheiten des Euroraums
Hauth, Kocher – März 2002