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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 … and external imbalances and inflation as relevant determinants of sovereign yields. -- long-term yields ; panel …
Persistent link: https://www.econbiz.de/10008653417
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Bootstrap panel Granger-causality between government budget and external deficits for the EU
Afonso, António; Rault, Christophe - 2009
period 1970-2007, for different EU and OECD country groupings. We use the panel-data approach of Kónya (2006), which is based … budget deficits to current account deficits for several EU countries: Bulgaria, Czech Republic, Estonia, Finland, France … effective real exchange rate in the SUR system does not substantially alter the results. -- Panel causality tests ; budget …
Persistent link: https://www.econbiz.de/10003818006
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The Relationship Between Fiscal and Current Account Imbalances in OECD Economies
Afonso, António - 2018
the period 1995Q1 to 2018Q1 using panel cointegration, and panel vector autoregressive (VAR) methods. Our results indicate …
Persistent link: https://www.econbiz.de/10012907294
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Short and long-run behaviour of long-term sovereign bond yields
Afonso, António - 2010
-term yields ; EU ; financial integration ; panel cointegration ; bootstrap … 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/10008732265
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(Non-)Keynesian effects of fiscal austerity : new evidence from a large sample
Afonso, António; Alves, José; Huart, Florence - 2021
We empirically assess whether a usually expected negative response of private consumption and private investment to a fiscal consolidation is reversed. We focus on a large sample of 174 countries between 1970 and 2018. We also employ three alternative measures of the Cyclically Adjusted Primary...
Persistent link: https://www.econbiz.de/10012504460
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The impact of extreme weather events on budget balances and implications for fiscal policy
Lis, Eliza M.; Nickel, Christiane - 2009
This paper explores implications of climate change for fiscal policy by assessing the impact of large scale extreme weather events on changes in public budgets. We apply alternative measures for large scale extreme weather events and conclude that the budgetary impact of such events ranges...
Persistent link: https://www.econbiz.de/10003866542
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Measuring the Success of Fiscal Consolidations
Afonso, António - 2011
We measure the success of fiscal consolidation, with alternative definitions, based on ad-hoc quantitative approaches and on a policy-action approach. The cyclically adjusted primary balance, and the duration of the consolidation contribute for its success, and the opposite applies for revenue...
Persistent link: https://www.econbiz.de/10013118796
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Measuring the Success of Fiscal Consolidations
Afonso, António - 2012
We measure the success of fiscal consolidation, with alternative definitions, based on ad-hoc quantitative approaches and on a policy-action approach. The cyclically adjusted primary balance, and the duration of the consolidation contribute for its success, and the opposite applies for revenue...
Persistent link: https://www.econbiz.de/10013104645
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Fiscal Discipline and the Cost of Public Debt Service : Some Estimates for OECD Countries
Ardagna, Silvia; Caselli, Francesco; Lane, Timothy - 2021
We use a panel of 16 OECD countries over several decades to investigate the effects of government debts and deficits on …
Persistent link: https://www.econbiz.de/10013318920
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Fiscal consolidation and the current account : OECD evidence
Breuer, Christian; Nam, Chang-woon - 2020
We apply a "new" conventional (CAPB-based) measure of fiscal policy, which is less prone to endogeneity issues, and find that a 1-percent of GDP fiscal consolidation leads to the improvement of the current account-to-GDP ratio by approximately 0.8 percent of GDP, while previous research based on...
Persistent link: https://www.econbiz.de/10012157972