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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • 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

  • e-ISSN

  • 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