How do experts forecast sovereign spreads?

This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance—a...

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Published inEuropean economic review Vol. 87; pp. 216 - 235
Main Authors Cimadomo, Jacopo, Claeys, Peter, Poplawski-Ribeiro, Marcos
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.08.2016
Elsevier Sequoia S.A
Subjects
Consensus Economics
Economic forecasts
Expectations
Fiscal policy
Government bonds
Market expectations
Sovereign bond spreads
Spread
Studies
Survey data
Yield
Italy
United Kingdom > UK
France
Germany
E62
H30
G10
Consensus Economics
Market expectations
Survey data
Sovereign bond spreads
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Abstract This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance—and other economic fundamentals—to be significant drivers of the expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the fiscal outlook significantly reduces expected sovereign spreads. This suggests that credible fiscal plans affect market experts’ expectations and reduce the pressure on sovereign bond markets. In addition, we show that expected fundamentals generally play a more important role in explaining forecasted spreads compared to realized spreads.
AbstractList This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance—and other economic fundamentals—to be significant drivers of the expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the fiscal outlook significantly reduces expected sovereign spreads. This suggests that credible fiscal plans affect market experts’ expectations and reduce the pressure on sovereign bond markets. In addition, we show that expected fundamentals generally play a more important role in explaining forecasted spreads compared to realized spreads.
This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance -- and other economic fundamentals -- to be significant drivers of the expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the fiscal outlook significantly reduces expected sovereign spreads. This suggests that credible fiscal plans affect market experts' expectations and reduce the pressure on sovereign bond markets. In addition, we show that expected fundamentals generally play a more important role in explaining forecasted spreads compared to realized spreads. [web URL: http://www.sciencedirect.com/science/article/pii/S0014292116300447]
Author Claeys, Peter
Poplawski-Ribeiro, Marcos
Cimadomo, Jacopo
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Consensus Economics
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Snippet This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and...
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SubjectTerms Consensus Economics
Economic forecasts
Expectations
Fiscal policy
Government bonds
Market expectations
Sovereign bond spreads
Spread
Studies
Survey data
Yield
Title How do experts forecast sovereign spreads?
URI https://dx.doi.org/10.1016/j.euroecorev.2016.03.002
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