المستودع الأكاديمي جامعة المدينة

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

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dc.creator Heppke-Falk, Kirsten H.
dc.creator Hüfner, Felix P.
dc.date 2004
dc.date.accessioned 2013-10-16T07:05:21Z
dc.date.available 2013-10-16T07:05:21Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19507
dc.identifier ppn:477280005
dc.identifier RePEc:zbw:bubdp1:2918
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19507
dc.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.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2004,40
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E43
dc.subject H62
dc.subject E62
dc.subject C33
dc.subject ddc:330
dc.subject Budget deficits
dc.subject interest rate swap spreads
dc.subject EMU
dc.subject Stability and Growth Pact
dc.subject Haushaltsdefizit
dc.subject Zinsswap
dc.subject Deutschland
dc.subject Frankreich
dc.subject Italien
dc.title Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy
dc.type doc-type:workingPaper
dc.coverage 1994-2004


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