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Long-term Government Bond Yields and Economic Forecasts: Evidence for the EU

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Author Info
António Afonso

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Abstract

I 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 ratios, signalling that sovereigns may need to pay more to finance in the market higher budget deficits. Key words: interest rates, macro forecasts, EU

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Publisher Info
Paper provided by Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon. in its series Working Papers with number 2009/38.

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Date of creation: Oct 2009
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Handle: RePEc:ise:isegwp:wp382009

Contact details of provider:
Postal: Department of Economics, School of Economics and Management (ISEG), Technical University of Lisbon, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL
Web page: http://www.iseg.utl.pt/departamentos/economia/

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Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
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

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This page was last updated on 2009-11-20.

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