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The impact of fiscal positions on government bond yields in CEE countries

Lena Malešević Perović

Economic Systems, 2015, vol. 39, issue 2, 301-316

Abstract: This paper investigates the influence of government debt and primary balance on long-term government bond yields in 10 Central and Eastern European (CEE) countries in the period 2000–2013. The results indicate that a one percentage point increase in the stock of government debt is associated with an increase in government bond yields of 2.7–4 basis points, while a one percentage point increase in the primary deficit to GDP ratio is associated with an increase in government bond yields of 12.9–24.3 basis points. We also find evidence of non-linearities in the debt-interest rate relationship, whereby the threshold after which the impact of debt turns from negative to positive is significantly lower than in advanced economies.

Keywords: Government debt; Government bond yield; Primary deficit; Non-linearities; CEE countries (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:ecosys:v:39:y:2015:i:2:p:301-316