Importance of fiscal fundamentals for sovereign risk spread

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F18%3A00011107" target="_blank" >RIV/47813059:19520/18:00011107 - isvavai.cz</a>
Result on the web
<a href="https://www.igi-global.com/gateway/book/182359" target="_blank" >https://www.igi-global.com/gateway/book/182359</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.4018/978-1-5225-4026-7.ch007" target="_blank" >10.4018/978-1-5225-4026-7.ch007</a>

Result language
angličtina
Original language name
Importance of fiscal fundamentals for sovereign risk spread
Original language description
The chapter examines the importance of fiscal fundamentals for sovereign risk spread in the period of 1995-2015, and its goal is to test whether stronger fiscal discipline reduces sovereign risk premiums. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (its time span is divided into a pre-crisis and a post-crisis period). The study applies the generalized method of moments. Evidence shows that before the financial crisis, investors generally ignored bond risk factors in individual countries, but that the spreads sharply diverged starting from the year 2008. The results confirm a statistically significant impact of fiscal fundamentals on government bond yield spread. The improvement of the governments' fiscal position reduces sovereign yield spread. In a post-crisis period, findings report the raising of the importance of fiscal variables for spread, and GDP growth became a major determinant of government bond yield spreads, followed by the budget bala nce and debt development.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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