Other publications
Authors: Antonio Afonso and Rolf Strauch
Abstract
This paper assesses the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in 2002 produced a reaction in the long-term bond segment of European capital markets. Firstly, we identify the relevant fiscal policy events. Secondly, we estimate the impact of these fiscal events on interest rate swap spreads in 13 EU member states. According to our results the reaction of swap spreads, when significant, has been mostly around five basis points or less.
Publication date: July 2007
Journal of International Financial Markets, Institutions and Money
Volume 17, Issue 3, July 2007, Pages 261–276