We have to create its shadow now. For the beginning we have to copy the balloon's layer and make the lowest copy entirely black, choosing Image ? Adjustments ? Channel Mixer.



Distort the shadow, applying Edit ? Transform ? Distort.



We have to use now the layer's mask and the Gradient Tool with a long extension to make the shadow more transparent on the bottom part.



Blur out a little the layer: Filter ? Blur ? Gaussian Blur.