Relationship between Government Bond Yield Spread and Fiscal Fundamentals in Selected EU Countries

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Relationship between Government Bond Yield Spread and Fiscal Fundamentals in Selected EU Countries

Popis výsledku v původním jazyce

This paper investigates relationship between government bond yield spread and fiscal fundamentals in selected European Union member states in the period 1995-2012. The aim of the paper is to examine impact of GDP growth, budget balance, debt and the fiscal rules index on government bond yield spread. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (time span is divided into a pre-crisis and a post-crisis period), data are taken from Eurostat and OECD database. Explanatory variables are not examined in individual regressions, but the study uses Generalized Method of Moments. For a model specification, Dynamic Panel Data Model Wizard is applied. Evidence shows that before the financial crisis investors generally ignoredbond risk factors in individual countries, but the spreads sharply diverged from year 2008. Results confirm statistically significant impact of fiscal fundamentals on government bond yield spread. In a post-crisis period, findings report

Název v anglickém jazyce

Relationship between Government Bond Yield Spread and Fiscal Fundamentals in Selected EU Countries

Popis výsledku anglicky

This paper investigates relationship between government bond yield spread and fiscal fundamentals in selected European Union member states in the period 1995-2012. The aim of the paper is to examine impact of GDP growth, budget balance, debt and the fiscal rules index on government bond yield spread. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (time span is divided into a pre-crisis and a post-crisis period), data are taken from Eurostat and OECD database. Explanatory variables are not examined in individual regressions, but the study uses Generalized Method of Moments. For a model specification, Dynamic Panel Data Model Wizard is applied. Evidence shows that before the financial crisis investors generally ignoredbond risk factors in individual countries, but the spreads sharply diverged from year 2008. Results confirm statistically significant impact of fiscal fundamentals on government bond yield spread. In a post-crisis period, findings report

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

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

European Financial Systems 2015

ISBN

978-80-210-7962-5

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

596-604

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

18. 6. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000370679200078