| Description |
1 online resource (46 pages) : color illustrations |
| Series |
IMF working paper ; WP/16/100 |
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IMF working paper ; WP/16/100.
|
| Contents |
Cover; Contents; Abstract; I. Introduction; II. Data: Expert Forecasts; A. Expected Bond Yield Spreads; B. Expected Macroeconomic Fundamentals; III. Methodology; IV. Results; A. Baseline Results; B. Debt limit and Fiscal Space; C. Additional Results; D. Sub-Sample Analysis; V. Conclusion; Tables and Figures; Appendix; A. Description of variables; B. Forecasters in Italy, France and the U.K; C. Calculation of the forecasted overall balance (as a ratio of GDP); References; Tables; Table 1. Descriptive Statistics; Table 2. Panel Baseline Regressions; Table 3. Panel with Realized Spreads |
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Table 4. Panel Using Fiscal SpaceTable 5. Panel Including Global Risk Variables; Table 6. Panel Using Primary Surplus; Table 7. Panel Using Realized Spreads as Explanatory Variables; Table 8. Panel Using Data in Levels; Table 9. Panel with Different Period Subsamples; Figures; Figure 1. Realized and Market Forecast Distribution of Bond Spreads; Figure 2. Realized and Market Forecast Distribution of Fiscal Balance |
| Summary |
This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance--and other economic fundamentals--to be significant drivers of the expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the fiscal outlook significantly reduces expected sovereign spreads. This suggests that credible fiscal plans affect market experts' expectations and reduce the pressure on sovereign bond markets. In addition, we show that expected fundamentals generally play a more important role in explaining forecasted spreads compared to realized spreads--Abstract |
| Notes |
"May 2016." |
|
"Fiscal Affairs Department." |
| Bibliography |
Includes bibliographical references (pages 41-46) |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed May 23, 2016) |
| Subject |
Government securities -- France
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Government securities -- Italy
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Government securities -- Great Britain
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Government securities -- Germany
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Economic forecasting -- France
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Economic forecasting -- Italy
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Economic forecasting -- Great Britain
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Economic forecasting -- Germany
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Economic forecasting.
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Government securities.
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France.
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Germany.
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Great Britain.
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Italy.
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| Form |
Electronic book
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| Author |
Claeys, Peter, author.
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Ribeiro, Marcos Poplawski, 1977- author, (IMF staff)
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International Monetary Fund. Fiscal Affairs Department, publisher.
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| ISBN |
9781484362068 |
|
1484362063 |
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