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Short and Long-run Behaviour of Long-term Sovereign Bond Yields

Afonso, António; Rault, Christophe - CESifo - 2010

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...

Persistent link: https://www.econbiz.de/10008727299

Budgetary and External Imbalances Relationship: A Panel Data Diagnostic

Afonso, António; Rault, Christophe - CESifo - 2009

We assess the cointegration relationship between current account and budget balances, and effective real exchange rates, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship between the two imbalances for each country for the...

Persistent link: https://www.econbiz.de/10005765818

Long-run Determinants of Sovereign Yields

Afonso, António; Rault, Christophe - CESifo - 2010

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...

Persistent link: https://www.econbiz.de/10008498994

3-Step Analysis of Public Finances Sustainability: the Case of the European Union

Afonso, António; Rault, Christophe - CESifo - 2008

We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the mean-reverting behaviour of general government expenditures and revenues ratios. Secondly, we apply the bootstrap panel...

Persistent link: https://www.econbiz.de/10005406275

What do we really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic

Afonso, António; Rault, Christophe - CESifo - 2008

We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by...

Persistent link: https://www.econbiz.de/10005416479

The Bail-Out! Positive Political Economics of Greek-type Crises in the EMU

Fahrholz, Christian; Wójcik, Cezary - CESifo - 2010

analysis suggests that, given EMU’s present political-economic set-up, i) the bail-out was unavoidable, ii) the lengthy process … with a future moral hazard problem. Based on our analysis, we suggest that the EMU’s institutional design could be improved … processes as well as the conditions and parameters on which the scope and limits of fiscal redistribution in EMU depends. In …

Persistent link: https://www.econbiz.de/10008671732

Panel Cointegration Tests on the Fiscal Sustainability of German Laender

Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - CESifo - 2014

This paper provides new evidence on the sustainability of public finances in German states (Laender) by exploiting a newly compiled database covering the years 1950]2011. Unlike previous studies on Germany, we analyze fiscal sustainability by applying gsecond generationh panel cointegration...

Persistent link: https://www.econbiz.de/10011067195

The Eurozone Needs Exit Rules

Fahrholz, Christian; Wójcik, Cezary - CESifo - 2012

This paper argues that the key issue for defining and solving the Eurozone’s (EZ) difficulties lies in readjusting the relationship between the centre and the periphery of the EZ. Our argument proceeds in two steps. Firstly, the basic finance problem of a centre-periphery system is captured by...

Persistent link: https://www.econbiz.de/10010553271

Do Re-election Probabilities Influence Public Investment?

Fiva, Jon H.; Natvik, Gisle James - CESifo - 2009

We identify exogenous variation in incumbent policymakers' re-election probabilities and explore empirically how this variation affects the incumbents' investment in physical capital. Our results indicate that a higher re-election probability leads to higher investments, particularly in the...

Persistent link: https://www.econbiz.de/10005013040