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The impact of fiscal positions on government bond yields in CEE countries |
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| Institution: | 1. Department of Economics, Indiana University, Bloomington, IN, United States;2. National Research University, Higher School of Economics, Institute Development Center, 109074 Moscow, Russia;1. School of Political Science and International Relations, Tongji University, 1239 Siping Road, 200092 Shanghai, China;2. School of Economics and Management, Chang’an University, Shaanxi, China;3. School of Economics and Finance, Xi’an Jiao Tong University, Shaanxi, China;4. Department of Marketing Management, Shih Chien University, Kaohsiung, Taiwan;1. Servicio de Medicina Nuclear-IDI Girona, Hospital Universitari de Girona Dr. Josep Trueta, Girona, Spain;2. Servicio de Cardiología, Hospital Universitari de Girona Dr. Josep Trueta, Girona, Spain;1. Institute of Economics, Zagreb, Trg J. F. Kennedya 7, 10000 Zagreb, Croatia;2. University of Ljubljana, Faculty of Economics, Kardeljeva ploščad 17, 1000 Ljubljana, Slovenia |
| Abstract: | This paper investigates the influence of government debt and primary balance on long-term government bond yields in 10 Central and Eastern European (CEE) countries in the period 2000–2013. The results indicate that a one percentage point increase in the stock of government debt is associated with an increase in government bond yields of 2.7–4 basis points, while a one percentage point increase in the primary deficit to GDP ratio is associated with an increase in government bond yields of 12.9–24.3 basis points. We also find evidence of non-linearities in the debt-interest rate relationship, whereby the threshold after which the impact of debt turns from negative to positive is significantly lower than in advanced economies. |
| Keywords: | Government debt Government bond yield Primary deficit Non-linearities CEE countries |
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