Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/2126
Título: Fiscal policy events and interest rate swap spreads: evidence from the EU
Autor: Afonso, António
Strauch, Rolf
Palavras-chave: fiscal policy events
Stability and Growth Pact
interest rate swap spreads
Data: Fev-2004
Editora: European Central Bank
Citação: Afonso, António e Rolf Strauch. 2004. "Fiscal policy events and interest rate swap spreads: evidence from the EU". European Central Bank working paper series nº 303-2004
Relatório da Série N.º: European Central Bank working paper series;nº 303-2004
Resumo: In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we identify the fiscal policy events and qualitatively assess the views of capital market participants. Secondly, we estimate the impact of these fiscal events on the interest rate swap spreads, which is our measure for the risk premium. According to our results the reaction of swap spreads, where it turned out to be significant, has been mostly around five basis points or less.
URI: http://hdl.handle.net/10400.5/2126
Versão do Editor: http://www.ecb.int/pub/pdf/scpwps/ecbwp303.pdf
Aparece nas colecções:DE - Documentos de trabalho / Working Papers

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