The impact of fiscal positions on government bond yields in CEE countries

Perović, Lena Malešević

doi:10.1016/j.ecosys.2014.10.006

Cited by 11 publications

(6 citation statements)

References 33 publications

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“…Similarly, for 22 developed countries, (Poghosyan, 2014), examined the short-run and long-run determinants of advanced economies' government bond yields, and found that government debt-to-GDP ratio has the significantly positive effect on government bond yields in both short run and long run. These results are also in line with those of (Malešević Perović, 2015). For developing and emerging market, the paper also interprets that financial development rises the magnitude of the level of the increase in government bond yields in CEE region and the crisis increase the effect of government debt ratio on government bond yield in the same countries.…”

Section: Government Debtsupporting

confidence: 88%

“…However, regarding to EGARCH model, only the coefficient of DCG_DEF on the first difference of the 3-year government bond is significant. The significantly positive association of the change in fiscal deficit with the change in government bond yields is consistent with (Malešević, 2015;Jalles, 2019). In other words, the increase in Government Deficit leads to the increase in the change in government bond yields because large government deficit decreases the ability of government to finance the budget deficit and increase the national debt.…”

Section: Discussionsupporting

confidence: 64%

“…In terms of developing countries, Muharam (2013) indicated that there is a significantly negative relationship between stock market return and government bond yield in Indonesia, which is explained that the demand of stock purchase increases due to the growth of economics, which is the reason for a decrease in government bond yield. However, there exists an insignificantly impact of stock market return on government bond yield, which is found in (Jaramillo & Weber, 2013;Malešević Perović, 2015).…”

Section: Stock Market Indexmentioning

confidence: 96%

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The Impacts of Fiscal and Macroeconomic Factors on Vietnam Government Bond Yield

Nguyen¹,

Nguyen²

2022

IJEF

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Government bond yield refers to the borrowing cost for government and the expected return for the individual and institutional investors. Having knowledge of government bond yield helps government operate or adjust the government bond issuance to boost the economic conditions in a country and support investors when diversifying their investment portfolio. To contribute to government bond’s literature and government’s policy, the determinants of government bond yield in Vietnam are examined by using GARCH-types models for time-series data. The findings show that for the 3-year and 5-year government bonds, there are positive relationships between the percentage change of Central Government Balance, Policy Rate change and government bond yields change; while the percentage change of Exchange Rate and VN Index negatively affect government bond yields change. For 10-year government bond, Policy Rate, VN Index, Inflation and VIX are the most significant determinants of the government bond yields. Their changes positively affect bond yields change while Inflation has a negative relationship with government bond yields change. Moreover, Inflation has more significant impact on the change in long-term government bond yields than that in shorter-term government bond yields.

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Section: Government Debtsupporting

confidence: 88%

Section: Discussionsupporting

confidence: 64%

Section: Stock Market Indexmentioning

confidence: 96%

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The Impacts of Fiscal and Macroeconomic Factors on Vietnam Government Bond Yield

Nguyen¹,

Nguyen²

2022

IJEF

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“…The importance of government fiscal position on the cost of borrowing by CEE transition economy governments is also highlighted in the study by Perovic (2015). This study, which covers the period from 2000 to 2013, suggests that an increase in the deficit increases the government bond spreads.…”

Section: Literature Reviewmentioning

confidence: 86%

Determinants of government bond spreads in European transition economies and implications for small and medium enterprises

Havolli

2023

Management (Split, Online)

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Given the need for transition economies to finance some of the investment required for development through borrowing, this paper empirically examines the determinants of government bond spreads, focusing on institutional quality as a contextual dimension. The literature generally assumes that market assessments of sovereign risk - i.e., the probability of default - and hence the cost of sovereign borrowing over the risk-free rate are based on the borrower’s macroeconomic fundamentals, solvency, and liquidity indicators related to fiscal and financial variables, and indicators of external financial market volatility. Using fixed effect estimation, our findings suggest that government bond spreads in European transition economies are sensitive to domestic macroeconomic fundamentals and global financial market volatility. From macroeconomic fundamentals, fiscal deficit levels, inflation rates, and countries’ effective exchange rates emerge as the leading indicators determining bond spreads over the observed period. Moreover, our results suggest that financial markets consider the quality of institutions when assessing default probabilities; hence, the potential risks arising from the quality of institutions are factored into the cost of sovereign borrowing. These results are robust to various extensions and robustness tests.

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“…Većina dosad objavljenih radova bavila se ispitivanjem utjecaja javnog duga i deficita pojedine zemlje na vlastite prinose državnih obveznica. Tako su [5], [17], [18], [19] redom potvrđivali pozitivan utjecaj spomenutog odnosa. S druge strane, postoji nekolicina autora koji su ispitivali utjecaj prelijevanja javnog duga na prinose državnih obveznica između zemalja.…”

Section: Uvod I Pregled Literatureunclassified

Utjecaj Javnog Duga Na Prinose Državnih Obveznica U Emu

Štrbić¹,

Hrvatske²,

Perović³

2020

International Scientific Conference EMAN – Economics &Amp; Management: How to Cope With Disrupted Times

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Glavni cilj ovog rada je istražiti utjecaj fiskalnih neravnoteža zemalja EMU na prinose državnih obveznica pojedine zemlje članice EMU u razdoblju od 2002. do 2018. godine. U odnosu na već provedena teorijska i empirijska istraživanja, ovaj rad predstavlja iskorak u postojećoj literaturi na način da se navedeni utjecaj analizira korištenjem tehnika prostorne ekonometrije koje omogućavaju promatranje prostorne zavisnosti između zemalja, a isto tako omogućavaju ispitivanje najznačajnijeg transmisijskog kanala preko kojeg je takav utjecaj moguć. Glavna pretpostavka je da na prinose državnih obveznica pojedine zemlje članice EMU ne utječu samo njene fiskalne neravnoteže, već određeni utjecaj imaju i fiskalne neravnoteže susjednih zemalja članica. Provedena analiza je potvrdila očekivanja autora i sugerirala sljedeće nalaze: utjecaji javnog duga i primarnog deficita na prinose državnih obveznica su pozitivni i statistički značajni; najznačajniji transmisijski kanal je geografski kanal; 49% ukupnog utjecaja se pripisuje indirektnim/spillover efektima.

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The impact of fiscal positions on government bond yields in CEE countries

Cited by 11 publications

References 33 publications

The Impacts of Fiscal and Macroeconomic Factors on Vietnam Government Bond Yield

The Impacts of Fiscal and Macroeconomic Factors on Vietnam Government Bond Yield

Determinants of government bond spreads in European transition economies and implications for small and medium enterprises

Utjecaj Javnog Duga Na Prinose Državnih Obveznica U Emu

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