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dc.contributor.authorBernoth, Kerstinen
dc.contributor.authorWolff, Guntram B.en
dc.date.accessioned2009-01-28T16:01:43Z-
dc.date.available2009-01-28T16:01:43Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/19647-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2006,19en
dc.subject.jelF34en
dc.subject.jelH6en
dc.subject.jelG12en
dc.subject.jelE43en
dc.subject.jelE62en
dc.subject.ddc330en
dc.subject.keywordRisk premiaen
dc.subject.keywordgovernment bond yieldsen
dc.subject.keywordcreative accountingen
dc.subject.keywordstock-flow adjustmentsen
dc.subject.keywordgimmickryen
dc.subject.keywordtransparencyen
dc.subject.stwHaushaltsdefiziten
dc.subject.stwÖffentliche Schuldenen
dc.subject.stwBilanzpolitiken
dc.subject.stwKonvergenzkriterienen
dc.subject.stwEU-Stabilitätspakten
dc.subject.stwZinsdifferenzen
dc.subject.stwLänderrisikoen
dc.subject.stwRisikoprämieen
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwSchätzungen
dc.subject.stwEU-Staatenen
dc.titleFool the markets? Creative accounting, fiscal transparency and sovereign risk premia-
dc.typeWorking Paperen
dc.identifier.ppn514273933en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:4470en

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