Resource title

Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy

Resource image

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Resource description

This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets into account. Results of a SUR estimation show no significant impact of expected deficits on swap spreads over the whole sample period (1994-2004). However, we find an increase in market discipline for Germany and France since the signing of the Stability and Growth Pact, and for Germany also since the start of European monetary union.

Resource author

Kirsten H. Heppke-Falk, Felix P. H├╝fner

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/19507

Resource license

Adapt according to the presented license agreement and reference the original author.