Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153535 
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper No. 1101
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic variables generated from Consensus Economics Forecasts. Moreover, we compare results from panel regressions with those from country (seemingly unrelated regression) estimates, and conduct analogous regressions for a control group of Latin American countries. We find that the role of the individual explanatory variables, including the importance of fiscal variables, varies across countries.
Subjects: 
Budget deficits
determination of interest rates
Eastern European countries
Fiscal Policy
JEL: 
C33
E43
E62
H62
Document Type: 
Working Paper

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