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Fiscal variables and bond spreads: evidence from eastern European countries and Turkey

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  • Nickel, Christiane
  • Rother, Philipp
  • Rülke, Jan C.

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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Bibliographic Info

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

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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; Eastern European countries; Fiscal Policy;

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Cited by:
  1. Georg Stadtmann & Christian Pierdzioch & Jan Ruelke, 2011. "Scattered Fiscal Forecasts," Economics Bulletin, AccessEcon, vol. 31(3), pages 2558-2568.
  2. 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.
  3. D'Agostino, Antonello & Ehrmann, Michael, 2012. "The pricing of G7 sovereign bond spreads – the times, they are a-changin," MPRA Paper 40604, University Library of Munich, Germany.

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