Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy

Arbeitspapier

This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets into account. Results of a SUR estimation show no significant impact of expected deficits on swap spreads over the whole sample period (1994-2004). However, we find an increase in market discipline for Germany and France since the signing of the Stability and Growth Pact, and for Germany also since the start of European monetary union.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Paper Series 1 ; No. 2004,40

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; National Deficit; Surplus ; Fiscal Policy ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Thema: Budget deficits ; interest rate swap spreads ; EMU ; Stability and Growth Pact ; Haushaltsdefizit ; Zinsswap ; Deutschland ; Frankreich ; Italien

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Heppke-Falk, Kirsten H. ; Hüfner, Felix P.
• Ereignis: Veröffentlichung
• (wer): Deutsche Bundesbank
• (wo): Frankfurt a. M.
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/19507
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ