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Budgetary decomposition and yield spreads

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dc.contributor.authorAfonso, António
dc.contributor.authorJalles, João Tovar
dc.date.accessioned2022-09-19T14:05:55Z
dc.date.available2022-09-19T14:05:55Z
dc.date.issued2016
dc.description.abstractWith 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationAfonso, António and João Tovar Jalles. (2016)."Budgetary decomposition and yield spreads". Applied Economics Letters, Vol. 23, No. 15: pp 1093-1098.pt_PT
dc.identifier.doi10.1080/13504851.2015.1136390pt_PT
dc.identifier.issn1466-4291 (Online)
dc.identifier.urihttp://hdl.handle.net/10400.5/25525
dc.language.isoengpt_PT
dc.publisherTaylor & Francis Grouppt_PT
dc.relationUECE is supported by Fundação para a Ciência e a Tecnologia (FCT), Portugalpt_PT
dc.subjectFiscal Componentspt_PT
dc.subjectBond Yieldspt_PT
dc.subjectGreat Recessionpt_PT
dc.subjectPVARpt_PT
dc.subjectImpulse Responsespt_PT
dc.titleBudgetary decomposition and yield spreadspt_PT
dc.typejournal article
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT

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