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Budgetary decomposition and yield spreads
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Autores
Orientador(es)
Resumo(s)
With a panel VAR of 10 Euro area countries, we studied the budgetary determinants of government
bond yield spreads vis-à-vis Germany between 1999Q1 and 2012Q4. We find that rising bid
ask, VIX and debt differentials increase yield spreads; and improvements in the budget balance,
higher growth prospects and depreciation lower the spreads. Moreover, rises in public wages or
in social expenditure increase spreads, while increases in direct and indirect taxes lower the yield
spreads. In the post-2007Q3 crisis period, rising expenditure components (except subsidies)
increased spreads.
Descrição
Palavras-chave
Fiscal Components Bond Yields Great Recession PVAR Impulse Responses
Contexto Educativo
Citação
Afonso, António and João Tovar Jalles. (2016)."Budgetary decomposition and yield spreads". Applied Economics Letters, Vol. 23, No. 15: pp 1093-1098.
Editora
Taylor & Francis Group