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The price relevance of fiscal developments

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dc.contributor.authorAfonso, António
dc.contributor.authorJalles, João Tovar
dc.date.accessioned2022-09-19T11:02:17Z
dc.date.available2022-09-19T11:02:17Z
dc.date.issued2017
dc.description.abstractWe 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationAfonso, António and João Tovar Jalles. (2017). "The price relevance of fiscal developments".International Economic Journal, Vol. 31, No.1: pp. 36-50.pt_PT
dc.identifier.doi10.1080/10168737.2016.1227348pt_PT
dc.identifier.issn1743-517X (Online)
dc.identifier.urihttp://hdl.handle.net/10400.5/25522
dc.language.isoengpt_PT
dc.publisherTaylor & Francis Grouppt_PT
dc.relationUECE, ResearchUnit on Complexity and Economics, is supported by FCT (Fundação para a Ciência e a Tecnologia, Portugal).pt_PT
dc.subjectPrice Levelpt_PT
dc.subjectYieldspt_PT
dc.subjectRicardian Regimespt_PT
dc.subjectSurept_PT
dc.subjectLocal Projectionpt_PT
dc.subjectImpulse Response Functionpt_PT
dc.titleThe price relevance of fiscal developmentspt_PT
dc.typejournal article
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT

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UECE - Artigos em Revistas Internacionais / Articles in International Journals
DE - Artigos em Revistas Internacionais / Articles in International Journals