Publication
Economic volatility and sovereign yields’ determinants: a time-varying approach
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Jalles, João Tovar | |
| dc.date.accessioned | 2022-09-16T09:13:38Z | |
| dc.date.available | 2022-09-16T09:13:38Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | Using monthly data for 10 euro area countries between 1999:01 and 2015:12, we take a new three-step methodological approach: first, we inspect the key determinants of 10-year government bond yield spreads; second, we compute country-specific timevarying coefficient models of spreads’ determinants; third, we use these estimates as explanatory variables in panel regressions using output volatility as the dependent variable.We find that better fiscal positions or higher-than-expected economic growth prospects reduce the yield spreads,while increases in theVIX, bid-ask spread, debt-to- GDP ratio or real effective exchange rate appreciation increase the spreads.Moreover, the responsiveness of the yield spread determinants increased in the run-up to the global financial crisis. Finally, for the case of the budget balance and real growth (bid-ask spread, debt-to-GDP ratio, real effective exchange rate and VIX), the larger (higher) in absolute value the corresponding spread’s responsiveness, the lower (higher) the economic volatility. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Afonso, António and João Tovar Jalles. (2020)."Economic volatility and sovereign yields’ determinants: a time-varying approach". Empirical Economics, Vol. 58, No.2: pp. 427-451. | pt_PT |
| dc.identifier.doi | 10.1007/s00181-018-1540-6 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/25513 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Springer | pt_PT |
| dc.relation | UECE is supported by FCT (Fundação para a Ciência e a Tecnologia, Portugal). | pt_PT |
| dc.subject | Volatility | pt_PT |
| dc.subject | Fiscal Policy | pt_PT |
| dc.subject | Bond Spreads | pt_PT |
| dc.subject | Errors-in-Variables | pt_PT |
| dc.subject | Time-Varying Coefficients | pt_PT |
| dc.subject | Instrumental Variables | pt_PT |
| dc.subject | Cross-Sectional Dependence | pt_PT |
| dc.title | Economic volatility and sovereign yields’ determinants: a time-varying approach | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |