tailieunhanh - WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU

These daily movements in the Portuguese long-term interest rates could reflect a risk premium. The EC recommendation clearly signalled to markets that Portuguese public finances were facing difficulties. Therefore, markets might have attributed additional risk to the government debt, demanding a higher interest rate to hold the long-term bonds. At the same time, the risk of private bonds might have decreased relatively to government bonds, since this EC recommendation was not seen as directly damaging this segment of the market. All in all, these movements pushed down, even if temporarily, the swap spreads. This development of the Portuguese long-term bond segment went in parallel with the evolution of the. | EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO. 303 I FEBRUARY 2004 FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS EVIDENCE FROM THE EU by António Afonso and Rolf Strauch EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO. 303 I FEBRUARY 2004 FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS EVIDENCE FROM THE EU1 by António Afonso2 and Rolf Strauch3 In 2004 all ECB publications will feature a motif taken from the 100 banknote. This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 515065. I We are grateful to Manfred Kremer José Marin Stephan Monissen Ludger Schuknecht Jurgen von Hagen an anonymous referee participants at an internal ECB seminar and at the Tor Vergata Conference on Banking and Finance for helpful comments Gerhard Schwab and Anna Foden for able research assistance Ioana Alexopoulou and Jorge Sicilia for helping us with data and JP Morgan for making data on CDS rates available to us. All remaining mistakes are ours. The opinions expressed herein are those of the authors and do not necessarily reflect those of the author s employers or of the ECB. 2 European Central Bank KaiserstraBe 29 D-60311 Frankfurt am Main Germany email . ISEG UTL - Technical University of Lisbon R. Miguel Lúpi 20 1249-078 Lisbon Portugal email aafonso@. 3 European Central Bank KaiserstraBe 29 D-60311 Frankfurt am Main Germany email . European Central Bank 2004 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Internet http Fax 49 69 1344 6000 Telex 411 144 ecb d All rights reserved. Reproduction for educational and noncommercialpurposes is permitted provided that the source is acknowledged. The views expressed in this paper do not necessarily reflect those of the European Central Bank. The statement of purpose for the

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