Fiscal variables and bond spreads: evidence from eastern European countries and Turkey

Arbeitspapier

We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic variables generated from Consensus Economics Forecasts. Moreover, we compare results from panel regressions with those from country (seemingly unrelated regression) estimates, and conduct analogous regressions for a control group of Latin American countries. We find that the role of the individual explanatory variables, including the importance of fiscal variables, varies across countries.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1101

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Interest Rates: Determination, Term Structure, and Effects ; Fiscal Policy ; National Deficit; Surplus
• Subject: Budget deficits ; determination of interest rates ; Eastern European countries ; Fiscal Policy ; Öffentliche Anleihe ; Haushaltsdefizit ; Finanzpolitik ; Zins ; Polen ; Russland ; Tschechien ; Ungarn ; Türkei

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Nickel, Christiane ; Rother, Philipp ; Rülke, Jan C.
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/153535
• Last update: 10.03.2025, 11:44 AM CET