文章基本信息

标题：Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
本地全文：下载
作者：Kerstin Bernoth ; Guntram Wolff
期刊名称：DNB Working Papers / De Nederlandsche Bank
出版年度：2006
卷号：1
出版社：De Nederlandsche Bank
摘要：We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both, the official fiscal position and the expected ”creative” part of fiscal policy. The relative importance of these two signals depends on the transparency of the country. Greater transparency reduces risk premia. The empirical results confirm the hypotheses. Creative accounting increases the spread. The increase of the risk premium is stronger if financial markets are unsure about the true extent of creative accounting. Fiscal transparency reduces risk premia. Instrumental variable egressions confirm these results by addressing potential reverse causality problems and measurement bias. JEL: G12, E43, E62, H6, F34.
关键词：Risk premia, government bond yields, creative accounting, stock-flow adjustments, gimmickry, transparency.