Budgetary decomposition and yield spreads
Autor(a) principal: | |
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Data de Publicação: | 2016 |
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/10400.5/25525 |
Resumo: | With a panel VAR of 10 Euro area countries, we studied 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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Budgetary decomposition and yield spreadsFiscal ComponentsBond YieldsGreat RecessionPVARImpulse ResponsesWith a panel VAR of 10 Euro area countries, we studied 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.Taylor & Francis GroupRepositório da Universidade de LisboaAfonso, AntónioJalles, João Tovar2022-09-19T14:05:55Z20162016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25525engAfonso, António and João Tovar Jalles. (2016)."Budgetary decomposition and yield spreads". Applied Economics Letters, Vol. 23, No. 15: pp 1093-1098.1466-4291 (Online)10.1080/13504851.2015.1136390info: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:RCAAP2023-03-06T14:55:05Zoai:www.repository.utl.pt:10400.5/25525Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:22.624875Repositório 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 studied 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 2016-01-01T00:00:00Z 2022-09-19T14:05:55Z |
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/10400.5/25525 |
url |
http://hdl.handle.net/10400.5/25525 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Afonso, António and João Tovar Jalles. (2016)."Budgetary decomposition and yield spreads". Applied Economics Letters, Vol. 23, No. 15: pp 1093-1098. 1466-4291 (Online) 10.1080/13504851.2015.1136390 |
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 |
Taylor & Francis Group |
publisher.none.fl_str_mv |
Taylor & Francis Group |
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) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131188458160128 |