Economic forecasts and sovereign yields
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | |
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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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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1799131188515831808 |