Long-term government bond yields and economic forecasts: evidence for the EU
AbstractI use a panel of semi-annual vintages of growth and fiscal forecasts of the European Commission, covering the period 1998:II-2008:II, to assess its effects on 10-year government yields for 14 EU countries. Results show that yields increase with better growth forecasts and with decreases in budget balance-to-GDP rations, signaling that sovereigns may need to pay more to finance higher budget deficits in the market.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 17 (2010)
Issue (Month): 15 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
Other versions of this item:
- António Afonso, 2009. "Long-term Government Bond Yields and Economic Forecasts: Evidence for the EU," Working Papers 2009/38, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
- H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- António Afonso & Jorge Silva, 2012. "The Fiscal Forecasting Track Record of the European Commission and Portugal," Working Papers 2012/37, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
- Panagiotis Petrakis & Emmanuel Papadakis & Nikoleta Daniilopoulou, 2012. "Public Statements on Sovereign Yield Spreads:The Greek Case," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(2), pages 5-16, December.
- Gerhard Reitschuler & Rupert Sendlhofer, 2011. "Fiscal policy, trigger points and interest rates: Additional evidence from the U.S," Working Papers 2011-23, Faculty of Economics and Statistics, University of Innsbruck.
- António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012.
"The determinants of sovereign bond yield spreads in the EMU,"
2012_14, Business School - Economics, University of Glasgow.
- António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012. "The determinants of sovereign bond yield spreads in the EMU," Working Papers 2012/36, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
- Afonso, António & Martins, Manuel M.F., 2010.
"Level, slope, curvature of the sovereign yield curve, and fiscal behaviour,"
Working Paper Series
1276, European Central Bank.
- Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1789-1807.
- Salvatore Dell’Erba, Sergio Sola, 2011. "Expected fiscal policy and interest rates in open economy," IHEID Working Papers 07-2011, Economics Section, The Graduate Institute of International Studies.
- Salvatore Dell'Erba, Sergio Sola, 2013. "Fiscal Policy, Interest Rates and Risk Premia in Open Economy," IHEID Working Papers 05-2013, Economics Section, The Graduate Institute of International Studies.
- Antonakakis, Nikolaos & Vergos, Konstantinos, 2013.
"Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 26(C), pages 258-272.
- Antonakakis, Nikolaos & Vergos, Konstantinos, 2012. "Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis," MPRA Paper 43284, University Library of Munich, Germany.
- Salvatore Dell'Erba & Sergio Sola, 2013. "Does Fiscal Policy Affect Interest Rates? Evidence From A Factor-Augmented Panel," IMF Working Papers 13/159, International Monetary Fund.
- António Afonso & Ana Sofia Nunes, 2013. "Economic forecasts and sovereign yields," Working Papers 2013/02, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.