THE IMPACT OF PUBLIC DEBT
ON GOVERNMENT BOND YIELDS IN EMU COUNTRIES
Dajana Štrbić – Ministrstvo financija Republike Hrvatske, Katančićeva 5, 10000 Zagreb, Republika Hrvatska
Lena Malešević Perović – Ekonomski fakultet Split, Sveučilište u Splitu, Cvite Fiskovića 5, 21000 Split, Republika Hrvatska
DOI: https://doi.org/10.31410/EMAN.2020.331
4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, September 3, 2020, CONFERENCE PROCEEDINGS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-30-1, ISSN 2683-4510
Sadržaj:
Glavni cilj ovog rada je istražiti utjecaj fiskalnih neravnoteža zemalja EMU na prinose državnih
obveznica pojedine zemlje članice EMU u razdoblju od 2002. do 2018. godine. U odnosu na već
provedena teorijska i empirijska istraživanja, ovaj rad predstavlja iskorak u postojećoj literaturi na
način da se navedeni utjecaj analizira korištenjem tehnika prostorne ekonometrije koje omogućavaju
promatranje prostorne zavisnosti između zemalja, a isto tako omogućavaju ispitivanje najznačajnijeg
transmisijskog kanala preko kojeg je takav utjecaj moguć. Glavna pretpostavka je da na prinose državnih
obveznica pojedine zemlje članice EMU ne utječu samo njene fiskalne neravnoteže, već određeni
utjecaj imaju i fiskalne neravnoteže susjednih zemalja članica. Provedena analiza je potvrdila očekivanja
autora i sugerirala sljedeće nalaze: utjecaji javnog duga i primarnog deficita na prinose državnih
obveznica su pozitivni i statistički značajni; najznačajniji transmisijski kanal je geografski kanal; 49%
ukupnog utjecaja se pripisuje indirektnim/spillover efektima.
Ključne riječi:
Javni dug, Prinosi na državne obveznice, Tehnike prostorne ekonometrije, Utjecaj prelijevanja,
Transmisijski kanali, EMU.
Abstract:
The main aim of this paper is to investigate the impact of fiscal imbalances of EMU countries
on government bond yields of an individual EMU member country in period 2002-2018. In comparison to
theoretical and empirical research already carried out, this paper represents a step forward in the existing
literature by analyzing this impact using spatial econometric techniques that allow for spatial dependence
between countries while also allowing the examination of the most significant transmission channels. The
main assumption in this paper is that government bond yields of an EMU member country are not only affected
by its own fiscal imbalances but also by fiscal imbalances of its neighboring member states. The analysis
confirmed authors` expectations and carried out the following findings: authors find positive and significant
impact of public debt and primary deficit on government bond yields; the most significant transmission channel
is geographical channel; 49% of the overall impact can be attributed to indirect/spillover effects.
Keywords:
Public debt, Government bond yields, Spatial econometric techniques, Spillover effect, Transmission
channels, EMU
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