文章基本信息

标题：How do financial institutions forecast sovereign spreads?
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作者：Jacopo Cimadomo ; Peter Claeys ; Marcos Poplawski-Ribeiro 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：This paper assesses how financial market participants form their expectations about futuregovernment bond spreads. Using monthly survey forecasts for France, Italy and the UKbetween January 1993 and December 2011, we test whether respondents consider theexpected evolution of the fiscal balance—and other economic fundamentals—as significantdrivers of the expected bond yield differential over a benchmark German 10-year bond. Ourmain result is that a projected improvement of the fiscal outlook significantly reducesexpected sovereign spreads. Overall, the findings suggest that credible fiscal plans affectexpectations of market experts, reducing the pressure on sovereign bond markets
关键词：market expectations; sovereign bond spreads; survey data; Consensus Economics;Forecast.