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Short and long-run behaviour of long-term sovereign bond yields
Afonso, António - 2010
period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the … estimator of Pesaran (2006) and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that …
Persistent link: https://www.econbiz.de/10010274743
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Consumption, wealth and business cycles in Germany
Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - 2005
This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies – mostly for the Anglo- Saxon economies – have generally documented that departures of these three variables from their common trend...
Persistent link: https://www.econbiz.de/10010261168
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3-Step analysis of public finances sustainability: the case of the European Union
Afonso, António; Rault, Christophe - 2008
specific panel unit root test to investigate the mean-reverting behaviour of general government expenditures and revenues … ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross … and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal …
Persistent link: https://www.econbiz.de/10010264433
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Long-run determinants of sovereign yields
Afonso, António; Rault, Christophe - 2010
We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence …; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary …
Persistent link: https://www.econbiz.de/10010270876
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Testing uncovered interest rate parity using LIBOR
Omer, Muhammad; de Haan, Jakob; Scholtens, Bert - 2012
markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm …
Persistent link: https://www.econbiz.de/10010283612
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Too Much in One Basket? Debt Concentration and Sovereign Yields
Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025
coefficients, we find that positive skewness generally exerts a dominant influence. Employing Panel Cointegration Techniques, we …
Persistent link: https://www.econbiz.de/10015434652
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Labour market rigidities, financial integration and international risk sharing in the OECD
Fidrmuc, Jarko; Foster, Neil; Scharler, Johann - 2007
Economic theory predicts that consumption growth rates should be highly correlated across countries. Empirical evidence overwhelmingly rejects this prediction. We examine whether increased financial integration and labour market rigidities can help explain this apparent contradiction between...
Persistent link: https://www.econbiz.de/10010264155
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in the low-supply phase lessen the negative output...
Persistent link: https://www.econbiz.de/10013282457
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Labour Market Rigidities, Financial Integration and International Risk Sharing in the OECD
Fidrmuc, Jarko; Foster-McGregor, Neil; Scharler, Johann - 2021
Economic theory predicts that consumption growth rates should be highly correlated across countries. Empirical evidence overwhelmingly rejects this prediction. We examine whether increased financial integration and labour market rigidities can help explain this apparent contradiction between...
Persistent link: https://www.econbiz.de/10013317001
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Different No More : Country Spreads in Advanced and Emerging Economies
Born, Benjamin - 2020
Interest-rate spreads fluctuate widely across time and countries. We characterize their behavior using some 3,200 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Before the financial crisis, spreads are 10 times more volatile in emerging economies than in...
Persistent link: https://www.econbiz.de/10012841745