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Fiscal variables and bond spreads – Evidence from Eastern European countries and Turkey

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Author Info
Christane Nickel () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
Philipp C. Rother () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
Jan C. Rülke () (WHU – Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar, Germany.)
Abstract

We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic variables generated from Consensus Economics Forecasts. Moreover, we compare results from panel regressions with those from country (seemingly unrelated regression) estimates, and conduct analogous regressions for a control group of Latin American countries. We find that the role of the individual explanatory variables, including the importance of fiscal variables, varies across countries. JEL Classification: C33, E43, E62, H62.

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Paper provided by European Central Bank in its series Working Paper Series with number 1101.

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Length: 45 pages
Date of creation: Oct 2009
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Handle: RePEc:ecb:ecbwps:20091101

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Keywords: Budget deficits; determination of interest rates; fiscal policy; Eastern European countries.;

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This page was last updated on 2009-12-15.

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