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

We use a newly available dataset of euro area quarterly national accounts fiscal data and construct multivariate state space mixed-frequencies models for the government deficit, revenue and expenditure in order to assess its information content and potential use for fiscal forecasting and monitoring purposes. The models are estimated using annual and quarterly national accounts fiscal data, but also incorporate monthly information taken from the cash accounts of the governments. The results show the usefulness of our approach for real-time fiscal policy surveillance in Europe, given the current policy framework in which the relevant official figures are expressed in annual terms.