Do fiscal drivers matter for sovereign risk spread in EU15?

Kód výsledku v IS VaVaI

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Do fiscal drivers matter for sovereign risk spread in EU15?

Popis výsledku v původním jazyce

The price of government bonds reflects among other market confidence in governments' commitment towards sustainable fiscal policies. The aim of the paper is to examine the importance of fiscal fundamentals for sovereign risk spread in selected European Union member states in a period 1990-2012 and test if stronger fiscal discipline reduces sovereign risk premium. The empirical evidence is performed on unbalanced panel containing 15 EU countries and panel regression is a basic methods of research. Next variables are used for testing impact on sovereign risk spread: German Bunds' interest, budget balance to GDP, debt to GDP, GDP growth and the fiscal rules index. The analysis uses data taken from Eurostat, OECD and Helgi database. Results confirm importance of fiscal variables and discipline for a sovereign risk spread. The improvement of fiscal position (expressed by budget balance increase and debt decrease) reduces sovereign yield spread. Contrary, changes of German Bunds' interest an

Název v anglickém jazyce

Do fiscal drivers matter for sovereign risk spread in EU15?

Popis výsledku anglicky

The price of government bonds reflects among other market confidence in governments' commitment towards sustainable fiscal policies. The aim of the paper is to examine the importance of fiscal fundamentals for sovereign risk spread in selected European Union member states in a period 1990-2012 and test if stronger fiscal discipline reduces sovereign risk premium. The empirical evidence is performed on unbalanced panel containing 15 EU countries and panel regression is a basic methods of research. Next variables are used for testing impact on sovereign risk spread: German Bunds' interest, budget balance to GDP, debt to GDP, GDP growth and the fiscal rules index. The analysis uses data taken from Eurostat, OECD and Helgi database. Results confirm importance of fiscal variables and discipline for a sovereign risk spread. The improvement of fiscal position (expressed by budget balance increase and debt decrease) reduces sovereign yield spread. Contrary, changes of German Bunds' interest an

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

O - Projekt operacniho programu

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

European Financial Systems 2014. Proceedings of the 11th International Scientific Conference

ISBN

978-80-210-7153-7

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

629-637

Název nakladatele

Masarykova universita

Místo vydání

Brno

Místo konání akce

Lednice

Datum konání akce

12. 6. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000350701500083