Fiscal policy events and interest rate swap spreads: evidence from the EU

Afonso, António; Strauch, Rolf

http://hdl.handle.net/10400.5/25631

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Autores

Afonso, António

Strauch, Rolf

Resumo(s)

This paper assesses the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in 2002 produced a reaction in the long-term bond segment of European capital markets. Firstly, we identify the relevant fiscal policy events. Secondly, we estimate the impact of these fiscal events on interest rate swap spreads in 13 EU member states. According to our results the reaction of swap spreads, when significant, has been mostly around five basis points or less.

Palavras-chave

Fiscal Policy Events Stability and Growth Pact Interest Rate Swap Spreads

URI

http://hdl.handle.net/10400.5/25631

Citação

Afonso, António and Rolf Strauch. (2007). "Fiscal policy events and interest rate swap spreads: evidence from the EU". Journal of International Financial Markets, Institutions and Money, Vol. 17, No. 3 : pp. 261-276.

Editora

Elsevier

DOI

10.1016/j.intfin.2005.12.002

Coleções

DE - Artigos em Revistas Internacionais / Articles in International Journals

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