We conduct a large-scale information randomized controlled trial (RCT) in five Eurozone countries to examine how households change their expectations regarding macroeconomic variables in response to a fiscal policy shock. While a positive shock to government spending is generally stimulative, we find its effects vary depending on the financing method and the country's level of public debt. When tax financing, fiscal multipliers are similar across countries with different debt-to-GDP ratios. However, a novel finding is that countries with higher debt levels exhibit smaller multipliers when fiscal policy is financed by issuing debt, and the relative effectiveness of debt-versus tax-financed spending hinges on a country's debt burden. To formalize the mechanisms behind this finding, we propose a New Keynesian model featuring fiscal discipline and proportional taxes.