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

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2007
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/10400.5/25631
Resumo: This paper assesses 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 2002 produced a reaction in the long-term bond segment of European capital markets. Firstly, we identify the relevant fiscal policy events. Secondly, we estimate the impact of these fiscal events on interest rate swap spreads in 13 EU member states. According to our results the reaction of swap spreads, when 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 SpreadsThis paper assesses 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 2002 produced a reaction in the long-term bond segment of European capital markets. Firstly, we identify the relevant fiscal policy events. Secondly, we estimate the impact of these fiscal events on interest rate swap spreads in 13 EU member states. According to our results the reaction of swap spreads, when significant, has been mostly around five basis points or less.ElsevierRepositório da Universidade de LisboaAfonso, AntónioStrauch, Rolf2022-09-30T08:54:51Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25631engAfonso, António and Rolf Strauch. (2007). "Fiscal policy events and interest rate swap spreads: evidence from the EU". Journal of International Financial Markets, Institutions and Money, Vol. 17, No. 3 : pp. 261-276.1042-443110.1016/j.intfin.2005.12.002info: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:RCAAP2023-03-06T14:55:11Zoai:www.repository.utl.pt:10400.5/25631Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:26.939499Repositório 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 This paper assesses 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 2002 produced a reaction in the long-term bond segment of European capital markets. Firstly, we identify the relevant fiscal policy events. Secondly, we estimate the impact of these fiscal events on interest rate swap spreads in 13 EU member states. According to our results the reaction of swap spreads, when significant, has been mostly around five basis points or less.
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2022-09-30T08:54:51Z
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/10400.5/25631
url http://hdl.handle.net/10400.5/25631
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António and Rolf Strauch. (2007). "Fiscal policy events and interest rate swap spreads: evidence from the EU". Journal of International Financial Markets, Institutions and Money, Vol. 17, No. 3 : pp. 261-276.
1042-4431
10.1016/j.intfin.2005.12.002
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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