Showing 1 - 5 of 5
a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …
Persistent link: https://www.econbiz.de/10005083318
We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...
Persistent link: https://www.econbiz.de/10008564415
We investigate the effect of fiscal institutions such as the strength of the finance minister in the budget process and deficits on interest spreads contained in bond yields of the countries now belonging to the Eurozone. Deficits significantly increase risk premia measured by relative swap...
Persistent link: https://www.econbiz.de/10005083235
How does private consumption react to an exogenous increase in government expenditure? Standard structural vector autoregressions (SVARs) usually report a positive GDP as well as consumption response, while event studies report a negative consumption response. We investigate in a SVAR whether...
Persistent link: https://www.econbiz.de/10005083242
We investigate the short-term effects of fiscal policy shocks on the German economy following the SVAR approach by Blanchard and Perotti (2002). We find that direct government expenditure shocks increase output and private consumption on impact with low statistical significance, while they...
Persistent link: https://www.econbiz.de/10005083253