Long-term Government Bond Yields and Economic Forecasts: Evidence for the EU

Antonio Afonso

No 2009/38, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

Abstract: 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 ratios, signalling that sovereigns may need to pay more to finance in the market higher budget deficits. Key words: interest rates, macro forecasts, EU.

JEL-codes: C33 E62 H62 (search for similar items in EconPapers)
Date: 2009-09
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Citations: View citations in EconPapers (2)

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Journal Article: Long-term government bond yields and economic forecasts: evidence for the EU (2010)
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