How do financial institutions forecast sovereign spreads?

Peter Claeys, Jacopo Cimadomo and Marcos Poplawski Ribeiro
Authors registered in the RePEc Author Service: Marcos Poplawski-Ribeiro

No 1750, Working Paper Series from European Central Bank

Abstract: This paper assesses how financial market participants form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the UK between January 1993 and December 2011, we test whether respondents consider the expected evolution of the fiscal balance JEL Classification: E62, G10, H30

Keywords: Consensus Economics Forecast; market expectations; sovereign bond spreads; survey data (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-eec and nep-mac
Note: 352854
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20141750

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