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

  • António Afonso

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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Paper provided by ISEG - School of Economics and Management, Department of Economics, University of Lisbon in its series Working Papers Department of Economics with number 2009/38.

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Date of creation: Sep 2009
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Handle: RePEc:ise:isegwp:wp382009
Contact details of provider: Postal: Department of Economics, ISEG - School of Economics and Management, University of Lisbon, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL
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