Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152737
Authors: 
Afonso, António
Strauch, Rolf
Year of Publication: 
2004
Series/Report no.: 
ECB Working Paper 303
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.
Subjects: 
fiscal policy events
interest rate swap spreads
Stability and Growth Pact
JEL: 
C22
G15
H30
Document Type: 
Working Paper

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