Importance of fiscal fundamentals for sovereign risk spread

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F18%3A00011107" target="_blank" >RIV/47813059:19520/18:00011107 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.igi-global.com/gateway/book/182359" target="_blank" >https://www.igi-global.com/gateway/book/182359</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.4018/978-1-5225-4026-7.ch007" target="_blank" >10.4018/978-1-5225-4026-7.ch007</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Importance of fiscal fundamentals for sovereign risk spread

Popis výsledku v původním jazyce

The chapter examines the importance of fiscal fundamentals for sovereign risk spread in the period of 1995-2015, and its goal is to test whether stronger fiscal discipline reduces sovereign risk premiums. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (its time span is divided into a pre-crisis and a post-crisis period). The study applies the generalized method of moments. Evidence shows that before the financial crisis, investors generally ignored bond risk factors in individual countries, but that the spreads sharply diverged starting from the year 2008. The results confirm a statistically significant impact of fiscal fundamentals on government bond yield spread. The improvement of the governments' fiscal position reduces sovereign yield spread. In a post-crisis period, findings report the raising of the importance of fiscal variables for spread, and GDP growth became a major determinant of government bond yield spreads, followed by the budget bala nce and debt development.

Název v anglickém jazyce

Importance of fiscal fundamentals for sovereign risk spread

Popis výsledku anglicky

The chapter examines the importance of fiscal fundamentals for sovereign risk spread in the period of 1995-2015, and its goal is to test whether stronger fiscal discipline reduces sovereign risk premiums. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (its time span is divided into a pre-crisis and a post-crisis period). The study applies the generalized method of moments. Evidence shows that before the financial crisis, investors generally ignored bond risk factors in individual countries, but that the spreads sharply diverged starting from the year 2008. The results confirm a statistically significant impact of fiscal fundamentals on government bond yield spread. The improvement of the governments' fiscal position reduces sovereign yield spread. In a post-crisis period, findings report the raising of the importance of fiscal variables for spread, and GDP growth became a major determinant of government bond yield spreads, followed by the budget bala nce and debt development.

Druh

C - Kapitola v odborné knize

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název knihy nebo sborníku

Regaining Global Stability After the Financial Crisis

ISBN

9781522540267

Počet stran výsledku

20

Strana od-do

127-146

Počet stran knihy

383

Název nakladatele

IGI Global

Místo vydání

Hershey PA, USA

Kód UT WoS kapitoly

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