@techreport{Bernoth2006Fool,
abstract = {We investigate the effects of official fiscal data and creative accounting signals
on interest rate spreads between bond yields in the European Union. Our
model predicts that risk premia contained in government bond spreads should
increase in both, the official fiscal position and the expected "creative" part
of fiscal policy. The relative importance of these two signals depends on the
transparency of the country. Greater transparency reduces risk premia. The
empirical results confirm the hypotheses. Creative accounting increases the
spread. The increase of the risk premium is stronger if financial markets are
unsure about the true extent of creative accounting. Fiscal transparency
reduces risk premia. Instrumental variable regressions confirm these results
by addressing potential reverse causality problems and measurement bias.},
author = {Kerstin Bernoth and Guntram B. Wolff},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {F34; H6; G12; E43; E62; 330; Risk premia; government bond yields; creative accounting; stock-flow adjustments; gimmickry; transparency; Haushaltsdefizit; \"{O}ffentliche Schulden; Bilanzpolitik; Konvergenzkriterien; EU-Stabilit\"{a}tspakt; Zinsdifferenz; L\"{a}nderrisiko; Risikopr\"{a}mie; \"{O}ffentliche Anleihe; Sch\"{a}tzung; EU-Staaten},
language = {eng},
number = {2006,19},
title = {Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19647},
year = {2006}
}
