Long-term government bond yields and economic forecasts: evidence for the EU
Applied Economics Letters, 2010, vol. 17, issue 15, 1437-1441
I use a panel of semi-annual vintages of growth and fiscal forecasts of the European Commission, covering the period 1998:II-2008:II, to assess its effects on 10-year government yields for 14 EU countries. Results show that yields increase with better growth forecasts and with decreases in budget balance-to-GDP rations, signaling that sovereigns may need to pay more to finance higher budget deficits in the market.
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Working Paper: Long-term Government Bond Yields and Economic Forecasts: Evidence for the EU (2009)
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