Publicação
The price relevance of fiscal developments
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Jalles, João Tovar | |
| dc.date.accessioned | 2016-01-15T16:14:33Z | |
| dc.date.available | 2016-01-15T16:14:33Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | We use SURE estimation methods to assess the link between prices, bond yields and the fiscal behavior. A first equation determines the country-specific cost of government financing via the long-term government bond yield, as a function of budget balance positions. A second equation links the price level to the cost of government financing. Our results for 15 EU countries in the period 1980Q1-2013Q4, show that: improvements in the fiscal stance lead to persistent falls in sovereign yields; higher sovereign yields are reflected in upward price movements; improvements in the fiscal stance in recession times lead to short-term decreases in yields; better fiscal stance in expansions induce downward movement in bond yields only after 8 quarters. | pt_PT |
| dc.identifier.citation | Afonso, António e João Tovar Jalles .2015. "The price relevance of fiscal developments". Instituto Superior de Economia e Gestão. DE Working papers nº 16-2015/DE/UECE | pt_PT |
| dc.identifier.issn | 2183-1815 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/10676 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | ISEG – Departamento de Economia | pt_PT |
| dc.relation.ispartofseries | DE/ Working papers nº 16-2015/DE/UECE | |
| dc.subject | Price Level | pt_PT |
| dc.subject | Yields | pt_PT |
| dc.subject | Ricardian Regimes | pt_PT |
| dc.subject | SURE | pt_PT |
| dc.subject | Local Projection | pt_PT |
| dc.subject | Impulse Response Function | pt_PT |
| dc.title | The price relevance of fiscal developments | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |