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The price relevance of fiscal developments
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Autores
Orientador(es)
Resumo(s)
We use Seemingly Unrelated Regressions Estimation methods to
assess the link between prices, bond yields and the fiscal behavior.
A first equation determines the country-specific cost of government
financing via the long-term government bond yield, as a function of
budget balance positions. A second equation links the price level to
the cost of government financing. Our results for 15 EU countries in
the period 1980Q1–2013Q4 show that improvements in the fiscal
stance lead to persistent falls in sovereign yields; higher sovereign
yields are reflected in upward price movements; improvements in
the fiscal stance in recession times lead to short-term decreases
in yields and better fiscal stance in expansions induce downward
movement in bond yields only after 8 quarters.
Descrição
Palavras-chave
Price Level Yields Ricardian Regimes Sure Local Projection Impulse Response Function
Contexto Educativo
Citação
Afonso, António and João Tovar Jalles. (2017). "The price relevance of fiscal developments".International Economic Journal, Vol. 31, No.1: pp. 36-50.
Editora
Taylor & Francis Group