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The impact of fiscal policy announcements by the Italian government on the sovereign spread: a comparative analysis

Matteo Falagiarda and Wildmer Daniel Gregori

No 1782, Working Paper Series from European Central Bank

Abstract: This paper attempts to evaluate the impact of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the three administrations that followed one another during the period 2009-2013. The results indicate that only fiscal policy announcements made by members of Monti's cabinet had a significant impact on the Italian spread. We argue that these findings may be partly explained by a credibility gap between Monti's technocratic administration and Berlusconi's and Letta's governments. JEL Classification: E43, E62, G01, G12

Keywords: fiscal policy announcements; GARCH models; interest rate spread; political communication; sovereign debt crisis (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-pol
Date: 2015-04
Note: 2438814
References: View references in EconPapers View complete reference list from CitEc
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Related works:
Journal Article: The impact of fiscal policy announcements by the Italian government on the sovereign spread: A comparative analysis (2015) Downloads
Working Paper: Fiscal Policy Announcements of Italian Governments and Spread Reaction during the Sovereign Debt Crisis (2014) Downloads
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