Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/5165
Título: Economic forecasts and sovereign yields
Autor: Afonso, António
Nunes, Ana Sofia
Palavras-chave: Macro forecasts
Fiscal forecasts
Sovereign yields
Data: Jan-2013
Editora: ISEG. Departamento de Economia
Citação: Afonso, António, Ana Sofia Nunes. 2013. "Economic forecasts and sovereign yields". Instituto Superior de Economia e Gestão - Departamento de Economia. DE working papers. nº 2/2013/DE/UECE
Relatório da Série N.º: DE working papers;nº 2/2013/DE/UECE
Resumo: The European Commission releases twice a year economic forecasts for some macro and fiscal variables (GDP growth rate, inflation, budget balance, among others). In our research we will try to understand if the corrections made to these forecasts have an impact in sovereign yields. We will perform an econometric analysis in a panel of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France, United Kingdom, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Sweden), covering the period from 1999:1 until 2012:1, and after we analyse each country individually, on the basis of a SUR analysis. We find that corrections in the EC’s forecasts do impinge on the 10-year sovereign bond yields, particularly corrections in fiscal variables, but this impact is different across countries, being more pronounced in countries with less favourable economic conditions.
URI: http://hdl.handle.net/10400.5/5165
ISSN: 0874-4548
Versão do Editor: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=316868&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2013&_request_checksum_=39a30531ec482776205c9f15660827cc8cec3ab4
Aparece nas colecções:DE - Documentos de trabalho / Working Papers
UECE - Documentos de Trabalho / UECE - Working Papers

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