Publication
Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Alves, José | |
| dc.contributor.author | Monteiro, Sofia | |
| dc.date.accessioned | 2024-02-26T13:38:34Z | |
| dc.date.available | 2024-02-26T13:38:34Z | |
| dc.date.issued | 2024-02 | |
| dc.description.abstract | Acknowledging the potential detrimental impact that twin-deficits may have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European Economies between 2001Q4 and 2022Q3. To do so, we first estimate a country-specific time-varying measure of fiscal sustainability, through the cointegration between government revenues and expenditures, and of external sustainability, derived from the exports-imports cointegration. We then resort to those time-varying coefficients to assess their impact on sovereign risk, proxied by 10-year CDS and CDS spreads (against the US) making use of Weighted Least Squares (WLS) analysis. Noticeably, we show that an improvement of both fiscal and external sustainability lead to a reduction in sovereign risk. This phenomenon becomes notably pronounced, particularly when examining countries experiencing an upward trajectory in their public debt levels. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Afonso, António, José Alves e Sofia Monteiro (2024). "Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances". REM Working paper series, nº 0311/2024 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/30203 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG – REM (Research in Economics and Mathematics) | pt_PT |
| dc.relation | UIDB/05069/2020 | pt_PT |
| dc.relation.ispartofseries | REM Working paper series;nº 0311/2024 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0311_2024.pdf | pt_PT |
| dc.subject | Sovereign Risk | pt_PT |
| dc.subject | Fiscal Sustainability | pt_PT |
| dc.subject | External Sustainability | pt_PT |
| dc.subject | CDS | pt_PT |
| dc.subject | CDS spreads | pt_PT |
| dc.title | Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |