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The impact of fiscal discipline on sovereign risk spread

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002488" target="_blank" >RIV/47813059:19520/13:#0002488 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • 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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    O - Projekt operacniho programu

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Conference Proceeding of 11th International Conference Economic Policy in the European Union Member Countries

  • ISBN

    978-80-248-3095-7

  • ISSN

  • e-ISSN

  • Number of pages

    12

  • Pages from-to

    338-349

  • Publisher name

    VŠB - Technical University of 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