Importance of fiscal discipline for sovereign risk spread

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F14%3A%230002733" target="_blank" >RIV/47813059:19520/14:#0002733 - 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

Importance of fiscal discipline for sovereign risk spread

Popis výsledku v původním jazyce

The price of government bonds reflects market confidence in governments' commitment towards sustainable fiscal policies. The aim of the paper is to examine the importance of fiscal discipline for sovereign risk spread in the European Union member statesin a period 1990-2011 and verify if stronger fiscal discipline reduces sovereign risk premium. The empirical estimation is performed for 24 EU member states, we apply estimation on three different panels (EU24, EURO, nonEURO). Next variables are used fortesting the impact on sovereign risk spread: German Bunds' interest, budget balance to GDP, debt to GDP, GDP growth, the fiscal rules index and inflation. Granger pairwise tests and cross correlation are applied as basic methods of research. The analysis identified the biggest importance of budget balance for sovereign yield spread in all panels, the importance of other variables varies in individual panels.

Název v anglickém jazyce

Importance of fiscal discipline for sovereign risk spread

Popis výsledku anglicky

The price of government bonds reflects market confidence in governments' commitment towards sustainable fiscal policies. The aim of the paper is to examine the importance of fiscal discipline for sovereign risk spread in the European Union member statesin a period 1990-2011 and verify if stronger fiscal discipline reduces sovereign risk premium. The empirical estimation is performed for 24 EU member states, we apply estimation on three different panels (EU24, EURO, nonEURO). Next variables are used fortesting the impact on sovereign risk spread: German Bunds' interest, budget balance to GDP, debt to GDP, GDP growth, the fiscal rules index and inflation. Granger pairwise tests and cross correlation are applied as basic methods of research. The analysis identified the biggest importance of budget balance for sovereign yield spread in all panels, the importance of other variables varies in individual panels.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Monetary, banking and financial issues in Central and Eastern EU member countries: How can Central and Eastern EU members overcome the current economic crisis?

ISBN

978-606-714-020-0

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

406-414

Název nakladatele

EDITURA UNIV ALEXANDRU IOAN CUZA IASI

Místo vydání

Iasi

Místo konání akce

Alexandru Ioan Cuza University of Iaşi

Datum konání akce

10. 4. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000346751900057