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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2126

Title: Fiscal policy events and interest rate swap spreads: evidence from the EU
Authors: Afonso, António
Strauch, Rolf
Keywords: fiscal policy events
Stability and Growth Pact
interest rate swap spreads
Issue Date: Feb-2004
Publisher: European Central Bank
Citation: 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
Series/Report no.: European Central Bank working paper series;nº 303-2004
Abstract: 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
Publisher version: http://www.ecb.int/pub/pdf/scpwps/ecbwp303.pdf
Appears in Collections:DE - Documentos de trabalho / Working Papers

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