Economic forecasts and sovereign yields

被引：14

作者：

Afonso, Antonio ^{[1
,2
,3
]}

Nunes, Ana Sofia ^{[4
]}

机构：

[1] ISEG UTL Tech Univ Lisbon, Dept Econ, Lisbon, Portugal

[2] UECE Res Unit Complex & Econ, Lisbon, Portugal

[3] European Cent Bank, Directorate Gen Econ, D-60311 Frankfurt, Germany

[4] ISEG UTL Tech Univ Lisbon, Lisbon, Portugal

来源：

ECONOMIC MODELLING | 2015年 / 44卷

关键词：

Macro forecasts; Fiscal forecasts; Sovereign yields;

D O I：

10.1016/j.econmod.2014.03.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We assess whether the corrections made to the EC macro and fiscal forecasts (GDP growth rate, inflation, budget balance, debt ratio, current account) have an impact in sovereign yields. We perform a panel analysis of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France, United Kingdom, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Sweden), for the period from 1999:1 until 2012:1, and we also analyse each country individually, on the basis of a SUR estimation. We find that corrections in the EC's forecasts impinge on 10-year sovereign bond yields, particularly corrections in fiscal variables, being more pronounced in countries with less favourable economic conditions. The penalization for the yields is higher in corrections for the current and next years than for previous years. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：319 / 326

页数：8

共 25 条

[1]

Afonso A., 2010, 3155 CESIFO

[2]

Afonso A., 2010, Revue Economique, V62, P1123

[3]

Afonso A., 2012, 362012DEUECE ISEGUTL

[4] Long-term government bond yields and economic forecasts: evidence for the EU [J].