Fiscal policy events and interest rate swap spreads: evidence from the EU

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2004
Outros Autores: Strauch, Rolf
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/2126
Resumo: In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we identify the fiscal policy events and qualitatively assess the views of capital market participants. Secondly, we estimate the impact of these fiscal events on the interest rate swap spreads, which is our measure for the risk premium. According to our results the reaction of swap spreads, where it turned out to be significant, has been mostly around five basis points or less.
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spelling Fiscal policy events and interest rate swap spreads: evidence from the EUfiscal policy eventsStability and Growth Pactinterest rate swap spreadsIn this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we identify the fiscal policy events and qualitatively assess the views of capital market participants. Secondly, we estimate the impact of these fiscal events on the interest rate swap spreads, which is our measure for the risk premium. According to our results the reaction of swap spreads, where it turned out to be significant, has been mostly around five basis points or less.European Central BankRepositório da Universidade de LisboaAfonso, AntónioStrauch, Rolf2010-06-14T08:43:59Z2004-022004-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2126engAfonso, António e Rolf Strauch. 2004. "Fiscal policy events and interest rate swap spreads: evidence from the EU". European Central Bank working paper series nº 303-2004info: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:RCAAP2023-03-06T14:33:22Zoai:www.repository.utl.pt:10400.5/2126Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:50:12.049777Repositório 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 Fiscal policy events and interest rate swap spreads: evidence from the EU
title Fiscal policy events and interest rate swap spreads: evidence from the EU
spellingShingle Fiscal policy events and interest rate swap spreads: evidence from the EU
Afonso, António
fiscal policy events
Stability and Growth Pact
interest rate swap spreads
title_short Fiscal policy events and interest rate swap spreads: evidence from the EU
title_full Fiscal policy events and interest rate swap spreads: evidence from the EU
title_fullStr Fiscal policy events and interest rate swap spreads: evidence from the EU
title_full_unstemmed Fiscal policy events and interest rate swap spreads: evidence from the EU
title_sort Fiscal policy events and interest rate swap spreads: evidence from the EU
author Afonso, António
author_facet Afonso, António
Strauch, Rolf
author_role author
author2 Strauch, Rolf
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Strauch, Rolf
dc.subject.por.fl_str_mv fiscal policy events
Stability and Growth Pact
interest rate swap spreads
topic fiscal policy events
Stability and Growth Pact
interest rate swap spreads
description In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we identify the fiscal policy events and qualitatively assess the views of capital market participants. Secondly, we estimate the impact of these fiscal events on the interest rate swap spreads, which is our measure for the risk premium. According to our results the reaction of swap spreads, where it turned out to be significant, has been mostly around five basis points or less.
publishDate 2004
dc.date.none.fl_str_mv 2004-02
2004-02-01T00:00:00Z
2010-06-14T08:43:59Z
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/10400.5/2126
url http://hdl.handle.net/10400.5/2126
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António e Rolf Strauch. 2004. "Fiscal policy events and interest rate swap spreads: evidence from the EU". European Central Bank working paper series nº 303-2004
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 European Central Bank
publisher.none.fl_str_mv European Central Bank
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
repository.mail.fl_str_mv
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