The impact of fiscal discipline on sovereign risk spread

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002487" target="_blank" >RIV/47813059:19520/13:#0002487 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The impact of fiscal discipline on sovereign risk spread
Original language description
The paper examines the effect of fiscal policy on financial markets and investigates whether fiscal discipline affects sovereign risk spread. We performed estimation on three different panels with the goal to find differences between euro and non-euro countries. We used next variables for testing the impact on sovereign bond spread: German Bunds' interest, budget balance, debt, difference between members´ debt and value of German debt and the fiscal rules index. Correlation analysis identified the strong correlation between sovereign yield spread and budget balance. This is the common trend for all panels. Fiscal rules index is strong correlated with spread too and it is more noticeable in EURO panel. The biggest difference between panels was found forthe debt and German interest rate. These variables are strong correlated only in EURO countries. Surprisingly, there is no correlation in nonEURO and EURO24 panels. Next, we used Granger causality methodology. In short-term, there is two
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Sborník příspěvků XI. mezinárodní vědecké konference Hospodářská politika v členských zemích Evropské unie.
ISBN
978-80-248-3094-0
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
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Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Velké Karlovice
Event date
Sep 18, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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