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A new test for fiscal sustainability with endogenous sovereign bond yields: Evidence for EU economies

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cris.lastimport.scopus2024-02-12T19:00:57Z
dc.abstract.enIn this paper we develop a new test for fiscal sustainability and propose a synthetic fiscal sustainability indicator. Conventional tests based on fiscal reaction functions assume a constant real interest rate. However, many empirical studies find evidence on a positive response of long-term rates to sovereign debt levels. We take this evidence into account and endogenize the long-term real interest rate in testing fiscal sustainability. We apply the new test for the European economies. We find that considering the response of interest rate to debt may change the assessment of fiscal sustainability. More specifically, our results indicate that fiscal sustainability is at risk in a number of European Union economies, even if the results of traditional approaches suggest sustainable fiscal policy.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorMackiewicz-Łyziak, Joanna
dc.contributor.authorŁyziak, Tomasz
dc.date.accessioned2024-01-24T18:04:17Z
dc.date.available2024-01-24T18:04:17Z
dc.date.issued2019
dc.description.financeNie dotyczy
dc.description.number82
dc.identifier.doi10.1016/J.ECONMOD.2019.01.001
dc.identifier.issn0264-9993
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/101728
dc.identifier.weblinkhttps://www.sciencedirect.com/science/article/pii/S0264999318315220
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofEconomic Modelling
dc.relation.pages136-151
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.enFiscal policy
dc.subject.enFiscal rules
dc.subject.enLong-term bond yields
dc.subject.enEuropean Union
dc.titleA new test for fiscal sustainability with endogenous sovereign bond yields: Evidence for EU economies
dc.typeJournalArticle
dspace.entity.typePublication