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Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model

Juessen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009

This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the...

Persistent link: https://www.econbiz.de/10010325941

Fiscal Deficits, Financial Fragility, and the Effectiveness of Government Policies

Kirchner, Markus; van Wijnbergen, Sweder - 2012

Recent macro developments in the euro area have highlighted the interactions between fiscal policy, sovereign debt, and financial fragility. We take a structural macroeconomic model with frictions in the financial intermediation process, in line with recent research, but introduce asset choice...

Persistent link: https://www.econbiz.de/10010326246

Does government spending crowd in private consumption? Theory and empirical evidence for the euro area

Coenen, Günter; Straub, Roland - 2005

In this paper, we revisit the effects of government spending shocks on private consumption within an estimated New-Keynesian DSGE model of the euro area featuring non-Ricardian households. Employing Bayesian inference methods, we show that the presence of non-Ricardian households is in general...

Persistent link: https://www.econbiz.de/10011604559

Fiscal convergence before entering the EMU

Onorante, Luca - 2006

The monetary integration of the acceding countries will proceed in several distinct steps, starting with membership in the European Union (EU), followed by participation in the so-called Exchange Rate Mechanism (ERM) II and ultimately entry into the euro area. This paper addresses the question...

Persistent link: https://www.econbiz.de/10011604710

Tax reform and labour-market performance in the euro area: a simulation-based analysis using the New Area-Wide Model

Coenen, Günter; McAdam, Peter; Straub, Roland - 2007

at the European Central Bank to examine the potential benefits and spillovers of reducing labour-market distortions … caused by euro area tax structures. Our analysis shows that lowering tax distortions to levels prevailing in the United … States would result in an increase in hours worked and output by more than 10 percent. At the same time, tax reductions would …

Persistent link: https://www.econbiz.de/10011604793

What do we really know about fiscal sustainability in the EU? A panel data diagnostic

Afonso, António; Rault, Christophe - 2007

We assess the sustainability of public finances in the EU15 over the period 1970-2006 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...

Persistent link: https://www.econbiz.de/10011604866

Fiscal consolidation in the euro area: long-run benefits and short-run costs.

Coenen, Günter; Mohr, Matthias; Straub, Roland - 2008

In this paper, we examine the macroeconomic effects of alternative fiscal consolidation policies in the New Area-Wide Model (NAWM), a two-country open-economy model of the euro area developed at the European Central Bank (cf. Coenen et al., 2007). We model fiscal consolidation as a permanent...

Persistent link: https://www.econbiz.de/10011604948

Globalisation and the euro area: simulation based analysis using the New Area Wide Model

Straub, Roland; Jacquinot, Pascal - 2008

labour markets would amplify the benefits associated with globalisation. …

Persistent link: https://www.econbiz.de/10011604953

Determinants of government bond spreads in new EU countries

Alexopoulou, Ioana; Bunda, Irina; Ferrando, Annalisa - 2009

Based on a rich database of government bond spreads and macroeconomic indicators over the period 2001-2008, we propose an empirical assessment of the role of fundamentals in driving long-term sovereign bond spreads of the new EU countries (Bulgaria, Czech Republic, Latvia, Lithuania, Hungary,...

Persistent link: https://www.econbiz.de/10011605139

Fiscal variables and bond spreads: evidence from eastern European countries and Turkey

Nickel, Christiane; Rother, Philipp; Rülke, Jan C. - 2009

We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic...

Persistent link: https://www.econbiz.de/10011605147