Economic forecasts and sovereign yields

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2015
Outros Autores: Nunes, Ana Sofia
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/25574
Resumo: We assess whether the correctionsmade to the EC macro and fiscal forecasts (GDP growth rate, inflation, budget balance, debt ratio, current account) have an impact in sovereign yields. We perform a panel analysis of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France, United Kingdom, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Sweden), for the period from 1999:1 until 2012:1, and we also analyse each country individually, on the basis of a SUR estimation.We find that corrections in the EC's forecasts impinge on 10-year sovereign bond yields, particularly corrections in fiscal variables, beingmore pronounced in countries with less favourable economic conditions. The penalization for the yields is higher in corrections for the current and next years than for previous years.
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spelling Economic forecasts and sovereign yieldsMacro ForecastsFiscal ForecastsSovereign YieldsWe assess whether the correctionsmade to the EC macro and fiscal forecasts (GDP growth rate, inflation, budget balance, debt ratio, current account) have an impact in sovereign yields. We perform a panel analysis of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France, United Kingdom, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Sweden), for the period from 1999:1 until 2012:1, and we also analyse each country individually, on the basis of a SUR estimation.We find that corrections in the EC's forecasts impinge on 10-year sovereign bond yields, particularly corrections in fiscal variables, beingmore pronounced in countries with less favourable economic conditions. The penalization for the yields is higher in corrections for the current and next years than for previous years.ElsevierRepositório da Universidade de LisboaAfonso, AntónioNunes, Ana Sofia2022-09-22T09:05:54Z20152015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25574engAfonso, António and Ana Sofia Nunes.(2015). "Economic forecasts and sovereign yields". Economic Modelling, Vol. 44: pp. 319-326.0264-999310.1016/j.econmod.2014.03.012info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:08Zoai:www.repository.utl.pt:10400.5/25574Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:24.712845Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Economic forecasts and sovereign yields
title Economic forecasts and sovereign yields
spellingShingle Economic forecasts and sovereign yields
Afonso, António
Macro Forecasts
Fiscal Forecasts
Sovereign Yields
title_short Economic forecasts and sovereign yields
title_full Economic forecasts and sovereign yields
title_fullStr Economic forecasts and sovereign yields
title_full_unstemmed Economic forecasts and sovereign yields
title_sort Economic forecasts and sovereign yields
author Afonso, António
author_facet Afonso, António
Nunes, Ana Sofia
author_role author
author2 Nunes, Ana Sofia
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Nunes, Ana Sofia
dc.subject.por.fl_str_mv Macro Forecasts
Fiscal Forecasts
Sovereign Yields
topic Macro Forecasts
Fiscal Forecasts
Sovereign Yields
description We assess whether the correctionsmade to the EC macro and fiscal forecasts (GDP growth rate, inflation, budget balance, debt ratio, current account) have an impact in sovereign yields. We perform a panel analysis of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France, United Kingdom, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Sweden), for the period from 1999:1 until 2012:1, and we also analyse each country individually, on the basis of a SUR estimation.We find that corrections in the EC's forecasts impinge on 10-year sovereign bond yields, particularly corrections in fiscal variables, beingmore pronounced in countries with less favourable economic conditions. The penalization for the yields is higher in corrections for the current and next years than for previous years.
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01T00:00:00Z
2022-09-22T09:05:54Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/25574
url http://hdl.handle.net/10400.5/25574
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António and Ana Sofia Nunes.(2015). "Economic forecasts and sovereign yields". Economic Modelling, Vol. 44: pp. 319-326.
0264-9993
10.1016/j.econmod.2014.03.012
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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