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Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Afonso, António; Martins, Manuel M.F. - 2010
We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the...
Persistent link: https://www.econbiz.de/10011605322
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Fiscal developments and financial stress: a threshold VAR analysis
Afonso, António; Baxa, Jaromír; Slavík, Michal - 2011
economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative … effect on output growth and worsens the fiscal position; (iv) the nonlinearity in the response of output growth to a fiscal …
Persistent link: https://www.econbiz.de/10011605365
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Cost of borrowing shocks and fiscal adjustment
de Groot, Oliver; Holm-Hadulla, Fédéric; … - 2012
Do capital markets impose fiscal discipline on governments? We investigate the responses of fiscal variables to a change in the interest rate paid by governments on their debt in a panel of 14 European countries over four decades. This is done in the context of a panel vector autoregressive...
Persistent link: https://www.econbiz.de/10011605548
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Post-COVID fiscal rules: A central bank perspective
Hauptmeier, Sebastian; Leiner-Killinger, Nadine; … - 2022
Regarding a prospective reform of the European Stability and Growth Pact (SGP) it seems rather consensual that a … growth rule as single operational indicator linked to a debt anchor. Compared to the status quo, our analysis suggests that … expenditure growth targets which take account of the ECB's symmetric 2% inflation target can improve the cyclical properties of …
Persistent link: https://www.econbiz.de/10013272147
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Fiscal Developments and Financial Stress : A Threshold VAR Analysis
Afonso, António - 2011
economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative … effect on output growth and worsens the fiscal position; (iv) the nonlinearity in the response of output growth to a fiscal …
Persistent link: https://www.econbiz.de/10013128285
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Level, Slope, Curvature of the Sovereign Yield Curve, and Fiscal Behaviour
Afonso, António - 2010
We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the...
Persistent link: https://www.econbiz.de/10013135491
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Cost of Borrowing Shocks and Fiscal Adjustment
de Groot, Oliver - 2013
Do capital markets impose fiscal discipline on governments? We investigate the responses of fiscal variables to a change in the interest rate paid by governments on their debt in a panel of 14 European countries over four decades. This is done in the context of a panel vector autoregressive...
Persistent link: https://www.econbiz.de/10013089247
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Post-Covid Fiscal Rules : A Central Bank Perspective
Hauptmeier, Sebastian; Leiner-Killinger, Nadine; … - 2022
Regarding a prospective reform of the European Stability and Growth Pact (SGP) it seems rather consensual that a … growth rule as single operational indicator linked to a debt anchor. Compared to the status quo, our analysis suggests that … expenditure growth targets which take account of the ECB’s symmetric 2% inflation target can improve the cyclical properties of …
Persistent link: https://www.econbiz.de/10013297106
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Quality of public finances and growth
Afonso, António; Ebert, Werner; Schuknecht, Ludger; … - 2005
public expenditure and its financing via revenue and deficits, and economic growth. We review the various channels through … which public finances affect growth and its underlying determinants (institutional framework, employment, savings and … surveys the empirical findings on the impact of fiscal variables on sustained economic growth. …
Persistent link: https://www.econbiz.de/10011604484
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Fiscal policy and growth: do financial crises make a difference?
Afonso, António; Grüner, Hans Peter; Kolerus, Christina - 2010
In this paper we assess to what extent in the existence of a financial crisis, government spending can contribute to mitigate economic downturns in the short run and whether such impact differs in crisis and non crisis times. We use panel analysis for a set of OECD and non-OECD countries for the...
Persistent link: https://www.econbiz.de/10011605263