Heterogeneous effects of fiscal policy on sovereign yields

Student thesis: Doc typesDocteur en Sciences économiques et de gestion


The recent macroeconomic environment characterized by low interest rates and high sovereign debt has renewed interest for the analysis of the determinants of sovereign yields. Against this backdrop, this dissertation assesses whether the influence of fiscal policy varies across time and space.
The first chapter empirically tackles whether larger deficits always cause higher sovereign interest rates. The results suggest that larger deficits are associated with higher sovereign yields when debt is not sustainable and to lower yields when debt dynamics is on a sustainable path.
The second chapter extends the first and identifies the macroeconomic and financial determinants of the yield curve with a structural approach. The results show that investors are sensitive to the state of public finances as they require a larger premium for holding debt that follows an unsustainable path.
The last chapter investigates to which extent neighboring countries have an influence on the domestic bond market for a panel of eurozone economies. Evidence shows that some neighbors matter more than others. In particular, core countries are immune to financial contagion, whereas periphery countries exhibit spillovers to and from the region.
la date de réponse11 oct. 2018
langue originaleAnglais
L'institution diplômante
  • Universite de Namur
SponsorsUniversité de Namur
SuperviseurRomain Houssa (Promoteur), Hans Dewachter (Copromoteur), Jean-Marie BALAND (Président), Lasse Bork (Jury), Paul REDING (Jury) & Stéphan Fahr (Jury)

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