Long-Term Government Bond Yields and Economic Forecasts: Evidence for the EU | Zendy

António Afonso | Zendy

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Long-Term Government Bond Yields and Economic Forecasts: Evidence for the EU

Author(s) -

António Afonso

Publication year - 2009

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.1404587

Subject(s) - term (time) , bond , government bond , economics , government (linguistics) , business , monetary economics , financial economics , international economics , finance , linguistics , philosophy , physics , quantum mechanics

I use a panel of semi-annual vintages of growth and fiscal forecasts of the European Commission, covering the period 1998:II-2008:II, to assess its effects on 10-year government yields for 14 EU countries. Results show that yields increase with better growth forecasts, and with decreases in budget balance-to-GDP ratios, signalling that sovereigns may need to pay more to finance in the market higher budget deficits. Key words: interest rates, macro forecasts, EU.

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