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The impact of fiscal policy announcements by the Italian government on the sovereign spread: a comparative analysis
Falagiarda, Matteo; Gregori, Wildmer Daniel - 2015
This paper attempts to evaluate the impact of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the three...
Persistent link: https://www.econbiz.de/10011605827
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Monetary Policy, Housing Booms and Financial (Im) Balances
Eickmeier, Sandra - 2015
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10013038915
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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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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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Sovereign risk premia in the European government bond market
Bernoth, Kerstin; von Hagen, Jürgen; Schuknecht, Ludger - 2004
This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on...
Persistent link: https://www.econbiz.de/10011604415
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Government risk premiums in the bond market: EMU and Canada
Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - 2008
the financial markets before EMU as their risk premiums did not respond to fiscal balances. This special status seems to … have disappeared with start of EMU. Monetary union, therefore, imposes more fiscal discipline on German states. In contrast …, Spanish provinces paid risk premiums related to their fiscal balances both before and after the start of EMU. Both German and …
Persistent link: https://www.econbiz.de/10011604925
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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
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What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?
Attinasi, Maria-Grazia; Checherita-Westphal, Cristina; … - 2009
This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis-à-vis Germany in selected euro area countries during the period end-July 2007 to end-March 2009, when the financial turmoil developed into a full-blown financial and economic...
Persistent link: https://www.econbiz.de/10011605177
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Government bond risk premiums in the EU revisited: the impact of the financial crisis
Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - 2010
This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the crisis can largely be explained on the basis of...
Persistent link: https://www.econbiz.de/10011605198
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The impact of high and growing government debt on economic growth: an empirical investigation for the euro area
Checherita-Westphal, Cristina; Rother, Philipp - 2010
This paper investigates the average impact of government debt on per-capita GDP growth in twelve euro area countries over a period of about 40 years starting in 1970. It finds a non-linear impact of debt on growth with a turning point—beyond which the government debt-to-GDP ratio has a...
Persistent link: https://www.econbiz.de/10011605283