Relationship between Government Bond Yield Spread and Fiscal Fundamentals in Selected EU Countries
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F15%3A%230003749" target="_blank" >RIV/47813059:19520/15:#0003749 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Relationship between Government Bond Yield Spread and Fiscal Fundamentals in Selected EU Countries
Original language description
This paper investigates relationship between government bond yield spread and fiscal fundamentals in selected European Union member states in the period 1995-2012. The aim of the paper is to examine impact of GDP growth, budget balance, debt and the fiscal rules index on government bond yield spread. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (time span is divided into a pre-crisis and a post-crisis period), data are taken from Eurostat and OECD database. Explanatory variables are not examined in individual regressions, but the study uses Generalized Method of Moments. For a model specification, Dynamic Panel Data Model Wizard is applied. Evidence shows that before the financial crisis investors generally ignoredbond risk factors in individual countries, but the spreads sharply diverged from year 2008. Results confirm statistically significant impact of fiscal fundamentals on government bond yield spread. In a post-crisis period, findings report
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
European Financial Systems 2015
ISBN
978-80-210-7962-5
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
596-604
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jun 18, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000370679200078