Do fiscal variables matter for sovereign risk spread?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F12%3A%230002149" target="_blank" >RIV/47813059:19520/12:#0002149 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Do fiscal variables matter for sovereign risk spread?

Popis výsledku v původním jazyce

The paper examines impact of fiscal policy on financial markets. In recent years, differences in government bond yields have sharply increased in the euro area. Part of this increase can be attributed to developments in public debt and contingent liabilities related to the banking sector. Price of government bonds reflects market confidence in governments' commitment towards sustainable fiscal policies. Fiscal governance has an impact on the sovereign yield spreads by reducing the probability of default. This has two effects on the sovereign spreads: first, it determines the standard risk premium that compensates for the possibility of default no matter what the extent of risk aversion is. Second, it determines the variance of the payments from the risky bond. The aim of the paper is to analyze impact of fiscal variables on sovereign risk spread in selected EU member states during 1990-2010. Panel regression is used as a basic method of research.

Název v anglickém jazyce

Do fiscal variables matter for sovereign risk spread?

Popis výsledku anglicky

The paper examines impact of fiscal policy on financial markets. In recent years, differences in government bond yields have sharply increased in the euro area. Part of this increase can be attributed to developments in public debt and contingent liabilities related to the banking sector. Price of government bonds reflects market confidence in governments' commitment towards sustainable fiscal policies. Fiscal governance has an impact on the sovereign yield spreads by reducing the probability of default. This has two effects on the sovereign spreads: first, it determines the standard risk premium that compensates for the possibility of default no matter what the extent of risk aversion is. Second, it determines the variance of the payments from the risky bond. The aim of the paper is to analyze impact of fiscal variables on sovereign risk spread in selected EU member states during 1990-2010. Panel regression is used as a basic method of research.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procykličnost finančních trhů, bubliny v cenách aktiv a makroprudenční regulace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

Political Economy of Eurozone Crisis: Is Fiscal Union Feasible?

ISBN

978-80-87106-62-4

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

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Název nakladatele

Martin Stříž Publishing

Místo vydání

Bučovice

Místo konání akce

Brno

Datum konání akce

1. 1. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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