Fiscal variables and bond spreads - evidence from Eastern European countries and Turkey

Christiane Nickel (), Philipp Rother and Jan-Christoph Ruelke

Applied Financial Economics, 2011, vol. 21, issue 17, 1291-1307

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. We find that, contrary to the evidence suggested by panel estimations, the role of the individual explanatory variables, including the importance of fiscal variables, varies significantly across countries when using the SUR specification.

Keywords: budget deficits; determination of interest rates; fiscal policy; Eastern European countries (search for similar items in EconPapers)
Date: 2011
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Working Paper: Fiscal variables and bond spreads: evidence from eastern European countries and Turkey (2009)
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DOI: 10.1080/09603107.2011.570711

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