Budgetary decomposition and yield spreads

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2016
Outros Autores: Jalles, João Tovar
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/10714
Resumo: With a panel VAR of 10 Euro area countries we study the budgetary determinants of government bond yield spreads vis-à-vis Germany between 1999Q1 and 2012Q4. We find that rising bid ask, VIX and debt differentials increase yield spreads; and improvements in the budget balance, higher growth prospects and depreciation lower the spreads. Moreover, rises in public wages or in social expenditure increase spreads, while increases in direct and indirect taxes lower the yield spreads. In the post-2007Q3 crisis period, rising expenditure components (except subsidies) increased spreads.
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spelling Budgetary decomposition and yield spreadsFiscal ComponentsBond YieldsGreat RecessionPVARImpulse ResponsesWith a panel VAR of 10 Euro area countries we study the budgetary determinants of government bond yield spreads vis-à-vis Germany between 1999Q1 and 2012Q4. We find that rising bid ask, VIX and debt differentials increase yield spreads; and improvements in the budget balance, higher growth prospects and depreciation lower the spreads. Moreover, rises in public wages or in social expenditure increase spreads, while increases in direct and indirect taxes lower the yield spreads. In the post-2007Q3 crisis period, rising expenditure components (except subsidies) increased spreads.ISEG – Departamento de EconomiaRepositório da Universidade de LisboaAfonso, AntónioJalles, João Tovar2016-01-19T16:09:48Z20162016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/10714engAfonso, António e João Tovar Jalles .2016. "Budgetary decomposition and yield spreads". Instituto Superior de Economia e Gestão. DE Working papers nº 5-2016/DE/UECE2183-1815info: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:RCAAP2023-03-06T14:41:00Zoai:www.repository.utl.pt:10400.5/10714Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:57:07.943815Repositório 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 Budgetary decomposition and yield spreads
title Budgetary decomposition and yield spreads
spellingShingle Budgetary decomposition and yield spreads
Afonso, António
Fiscal Components
Bond Yields
Great Recession
PVAR
Impulse Responses
title_short Budgetary decomposition and yield spreads
title_full Budgetary decomposition and yield spreads
title_fullStr Budgetary decomposition and yield spreads
title_full_unstemmed Budgetary decomposition and yield spreads
title_sort Budgetary decomposition and yield spreads
author Afonso, António
author_facet Afonso, António
Jalles, João Tovar
author_role author
author2 Jalles, João Tovar
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Jalles, João Tovar
dc.subject.por.fl_str_mv Fiscal Components
Bond Yields
Great Recession
PVAR
Impulse Responses
topic Fiscal Components
Bond Yields
Great Recession
PVAR
Impulse Responses
description With a panel VAR of 10 Euro area countries we study the budgetary determinants of government bond yield spreads vis-à-vis Germany between 1999Q1 and 2012Q4. We find that rising bid ask, VIX and debt differentials increase yield spreads; and improvements in the budget balance, higher growth prospects and depreciation lower the spreads. Moreover, rises in public wages or in social expenditure increase spreads, while increases in direct and indirect taxes lower the yield spreads. In the post-2007Q3 crisis period, rising expenditure components (except subsidies) increased spreads.
publishDate 2016
dc.date.none.fl_str_mv 2016-01-19T16:09:48Z
2016
2016-01-01T00:00:00Z
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/10400.5/10714
url http://hdl.handle.net/10400.5/10714
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António e João Tovar Jalles .2016. "Budgetary decomposition and yield spreads". Instituto Superior de Economia e Gestão. DE Working papers nº 5-2016/DE/UECE
2183-1815
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 ISEG – Departamento de Economia
publisher.none.fl_str_mv ISEG – Departamento de Economia
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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