Publicação
Budgetary decomposition and yield spreads
| 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. |
|---|---|
| Autores principais: | Afonso, António |
| Outros Autores: | Jalles, João Tovar |
| Assunto: | Fiscal Components Bond Yields Great Recession PVAR Impulse Responses |
| Ano: | 2016 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1865920785010393088 |
|---|---|
| author | Afonso, António |
| author2 | Jalles, João Tovar |
| author2_role | author |
| author_facet | Afonso, António Afonso, António Jalles, João Tovar Jalles, João Tovar |
| author_role | author |
| contributor_name_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_str | [{\"Person.name\":\"Afonso, António\"},{\"Person.name\":\"Jalles, João Tovar\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Afonso, António Jalles, João Tovar |
| datacite.date.Accepted.fl_str_mv | 2016-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2016-01-19T16:09:48Z |
| datacite.date.embargoed.fl_str_mv | 2016-01-19T16:09:48Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Fiscal Components Bond Yields Great Recession PVAR Impulse Responses |
| datacite.titles.title.fl_str_mv | Budgetary decomposition and yield spreads |
| dc.contributor.none.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Afonso, António Jalles, João Tovar |
| dc.date.Accepted.fl_str_mv | 2016-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2016-01-19T16:09:48Z |
| dc.date.embargoed.fl_str_mv | 2016-01-19T16:09:48Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/10714 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | ISEG – Departamento de Economia |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Fiscal Components Bond Yields Great Recession PVAR Impulse Responses |
| dc.title.fl_str_mv | Budgetary decomposition and yield spreads |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_8042 |
| 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. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | workingPaper |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/2927cfd3-3bc4-4356-953c-e6145f4be565/download |
| id | ul_38d2d18c5a2ec0741388f4e2cc3ae4a1 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/10714 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/10714 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Afonso, António Jalles, João Tovar |
| publishDate | 2016 |
| publisher.none.fl_str_mv | ISEG – Departamento de Economia |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engISEG – Departamento de Economiapt_PTWith 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.application/pdfpt_PTBudgetary decomposition and yield spreadsAfonso, AntónioJalles, João TovarHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.ptISSNIsPartOf2183-18152016-01-19T16:09:48Z20162016-01-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/10714http://purl.org/coar/access_right/c_abf2open accessFiscal ComponentsBond YieldsGreat RecessionPVARImpulse Responses394969 bytesother research producthttp://purl.org/coar/resource_type/c_8042working paperhttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/2927cfd3-3bc4-4356-953c-e6145f4be565/download |
| spellingShingle | Budgetary decomposition and yield spreads Budgetary decomposition and yield spreads Afonso, António Fiscal Components Bond Yields Great Recession PVAR Impulse Responses Afonso, António Fiscal Components Bond Yields Great Recession PVAR Impulse Responses |
| status | SINGLETON |
| subject.fl_str_mv | Fiscal Components Bond Yields Great Recession PVAR Impulse Responses |
| title | Budgetary decomposition and yield spreads |
| title_full | Budgetary decomposition and yield spreads |
| title_fullStr | Budgetary decomposition and yield spreads Budgetary decomposition and yield spreads |
| title_full_unstemmed | Budgetary decomposition and yield spreads Budgetary decomposition and yield spreads |
| title_short | Budgetary decomposition and yield spreads |
| title_sort | Budgetary decomposition and yield spreads |
| topic | Fiscal Components Bond Yields Great Recession PVAR Impulse Responses |
| topic_facet | Fiscal Components Bond Yields Great Recession PVAR Impulse Responses |
| url | http://hdl.handle.net/10400.5/10714 |
| visible | 1 |