Fiscal variables and bond spreads – Evidence from Eastern European countries and Turkey

Christane Nickel (), Philipp C. Rother () and Jan C. Rülke ()
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Christane Nickel: European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html
Philipp C. Rother: European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html
Jan C. Rülke: WHU – Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar, Germany., http://whu.edu/cms/index.php?id=1959&L=1&1354

No 1101, Working Paper Series from European Central Bank

Abstract: We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic variables generated from Consensus Economics Forecasts. Moreover, we compare results from panel regressions with those from country (seemingly unrelated regression) estimates, and conduct analogous regressions for a control group of Latin American countries. We find that the role of the individual explanatory variables, including the importance of fiscal variables, varies across countries. JEL Classification: C33, E43, E62, H62.

Keywords: Budget deficits; determination of interest rates; fiscal policy; Eastern European countries. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ara, nep-eec and nep-tra
Date: 2009-10

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Persistent link: http://EconPapers.repec.org/RePEc:ecb:ecbwps:20091101

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