The impact of fiscal discipline on sovereign risk spread
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The impact of fiscal discipline on sovereign risk spread
Popis výsledku v původním jazyce
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
Název v anglickém jazyce
The impact of fiscal discipline on sovereign risk spread
Popis výsledku anglicky
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
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
AH - Ekonomie
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
O - Projekt operacniho programu
Ostatní
Rok uplatnění
2013
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Conference Proceeding of 11th International Conference Economic Policy in the European Union Member Countries
ISBN
978-80-248-3095-7
ISSN
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e-ISSN
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Počet stran výsledku
12
Strana od-do
338-349
Název nakladatele
VŠB - Technical University of Ostrava
Místo vydání
Ostrava
Místo konání akce
Velké Karlovice
Datum konání akce
18. 9. 2013
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
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