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Economic forecasts and sovereign yields

Antoacutenio Afonso abc Ana So1047297a Nunes d

a ISEGUTLmdashTechnical University of Lisbon Department of Economics Portugalb UECE mdashResearch Unit on Complexity and Economics Portugal 1

c European Central Bank Directorate General Economics Kaiserstraszlige 29 D-60311 Frankfurt am Main Germanyd ISEGUTLmdashTechnical University of Lisbon Portugal

a b s t r a c ta r t i c l e i n f o

Article history

Accepted 11 March 2014Available online 26 April 2014

JEL classi 1047297cation

C23E44H68

Keywords

Macro forecastsFiscal forecastsSovereign yields

We assess whetherthe correctionsmadeto theEC macroand1047297scalforecasts (GDPgrowthrate in1047298ation budget

balance debt ratio current account) have an impact in sovereign yields We perform a panel analysis of 15 EUcountries (Austria Belgium Germany Denmark Spain Finland France United Kingdom Greece Ireland ItalyLuxembourg Netherlands Portugal and Sweden) for the period from 19991 until 20121 and we also analyseeach country individually onthe basis of a SURestimation We1047297nd that correctionsin the ECsforecasts impingeon 10-year sovereign bondyieldsparticularly correctionsin 1047297scalvariablesbeing morepronouncedin countrieswith less favourable economic conditions The penalization for the yields is higher in corrections for the currentand next years than for previous years

copy 2014 Elsevier BV All rights reserved

1 Introduction

Since 1998 theEuropean Commission(EC) releases in a regular basistwice a year in the spring and in autumn short-term economic fore-casts for the member states of the Economic and Monetary Union(EMU) candidate countries and other important economies as theUnited States Japan and the United Kingdom

Since the forecasts are publicly available investors may use thisinformation to decide their investment portfolio notably their in-vestment in the sovereign bonds Therefore the releaseof these fore-casts should theoretically have an impact on sovereign spreadsIndeed we may argue that rational investors use all the available in-formation thus a release of new information will cause a rearrange-ment in their investment portfolio However it is not obvious thatthis happens in reality

Hence we are interested in assessing what is theimpact of releas-ing economic forecasts on the sovereign yields If as expected theimpact on sovereign yields is signi1047297cant the institutions which

release these forecasts (EC Organization for Economic and Co-

operation Development (OECD) European Central Bank (ECB) andothers) and in particular the governments want to be aware of theconsequences of forecast accuracy That is particularly relevantregarding forecasts for current and next years (the ones with mostobvious possible in1047298uence) but also for past years as there areoften corrections to past data

Moreover there is also an interest forprivate agentsto know theim-pact of macro and 1047297scal forecasts especially traders as every anticipa-tion of future movements in bonds prices may bring pro1047297t Thereforeknowing if and how the bond market reacts to the release of these fore-casts is paramount

The present research will try to provide an answer for this problemand it is a contribution to the literature since these linkages have notbeen much explored at least to our knowledge after reading theexisting related literature In fact there are only a few studies for theUSA2 and some were made 15 or more years ago 3 On the contrarythere are numerous studies on sovereign spreads determinants onforecasts accuracy and on the causes of forecast errors (notably

Jonung and Martin 2006 Martins and Mora 2007 Merola and Peacuterez2012 Moulin and Wierts 2006)

Economic Modelling 44 (2015) 319ndash326

Theauthors aregrateful to an anonymousreferee to PatriacuteciaMartinsand to participantsat the UECE Conference on Economic and Financial Adjustments in Europe TechnicalUniversity of Lisbon 28 June 2013 forveryuseful comments Theopinionsexpressed hereinare those of the authors and do re1047298ect those of the ECB or the Eurosystem Corresponding author

E-mail addresses aafonsoisegutlpt (A Afonso) so1047297acgnnunesgmailcom(AS Nunes)

1 UECE is supported by Fundacatildeo para a Ciecircncia e a Tecnologia (Portuguese Foundationfor Science and Technology) through the project PEst-OEEGEUI04362011

2 See Canzoneri et al (2003)3 See Porter-Hudak and Quigley (1994)

httpdxdoiorg101016jeconmod201403012

0264-9993copy 2014 Elsevier BV All rights reserved

Contents lists available at ScienceDirect

Economic Modelling

j o u r n a l h o m e p a g e w w w e l s e v i e r c o m l o c a t e e c m o d

7212019 1-s20-S0264999314000984-main


Weperform an econometric analysisof thelinkagesbetweendifferenteconomic forecasts and sovereign yield spreads using a panel of 15 EUcountries (Austria Belgium Germany Denmark Spain Finland FranceUnited Kingdom Greece Ireland Italy Luxembourg NetherlandsPortugal and Sweden) covering the period from 19991 until 20121First we do the analysis for the entire panel and afterwards we studyeach country individually speci1047297cally on the basis of a SUR analysis No-tice that we use as variables the difference between the forecasts of two

consecutive semesters and not the forecast itself This has as purpose toidentify not only the impact of the forecasts corrections in the yieldsbut also the credibility of the previsions

In a nutshell we can draw an important conclusion from ourstudy corrections in the ECs forecasts do impinge on the 10-yearsovereign bond yield spreads particularly the corrections in 1047297scalvariables (public debt and budget balance) but this impact is differ-ent across countries being more pronounced in countries with lessfavourable economic conditions The penalization for the yields ishigher in corrections for the current and next years than for previousyears The fact that markets react to this information on macro and1047297scal forecasts could be consistent with the semi-strong form of ef 1047297cient market hypothesis

This paper is organized as follows Section two covers the relatedliterature Section three explains and discusses the data and the con-struction of the variables Section four presents the empirical strategyand the results Section 1047297ve summarizes the conclusions

2 Literature review

21 Literature on sovereign spreads determinants

To perform our analysis we need to know themaindeterminants of sovereign bond yield spreads There is a great amount of literature onthis subject but there are still some con1047298icting results as there aremany factors which may in1047298uence sovereign spreads

However there aresome conclusionsthat arecommon to themajor-ity of the studies The variables which more often appear as signi1047297cantare the level of GDP GDP per capita or GDP growth rate (Afonso

2010 Hischer and Nosbusch 2010) 1047297scal performance through publicdebt andbudgetbalance (Afonso 2010 Afonsoet al 2012 Akitoby andStratmann 2006 Amira2004 Baldacci andKumar2010 DellErbaandSola 2011 Gruber and Kamin 2010 Laubach 2009) current accountbalance (Amira 2004) and monetary policy (Gruber and Kamin 2010)

The literature also presents several interesting conclusions For ex-ample the impact of the level of public debt is quantitatively lowerthan the one of public de1047297cits (Faini 2006 Laubach 2009) and worst1047297scal behaviour lowers the ratings of sovereign debt (Afonso andGomes 2010) which may induce a rise in theyieldsdemanded by mar-ket participants Indeed government balance and the debt-to-GDP ra-tios could convey relevant information regarding credit risk orliquidity risk and help in explaining cross-country 1047297nancial risk premia

DellErba and Sola (2011) using a panel of 17 OECD countries from

1989 to 2009 conclude that a budget de1047297cit increase has a greater im-pact in small peripheral countries or in countries with low 1047297nancial in-tegration Baldacci andKumar (2010) with data from 31 developed andin developing countries between 1980 and2008reportthat higherdef-icits and levels of public debt lead to a signi1047297cant increase in long-terminterest rates and that the magnitude of such increase depends on theinitial1047297scal institutional and structuralconditionsand on the spilloversof the global 1047297nancial markets

A study by the EC (2011) 1047297nds a negative relationship between thestrength of rules-based 1047297scal governance and sovereign spreads usingthe Fiscal Rules Index as a measure of the quality of the 1047297scal institu-tions Alexopoulou et al (2009) conclude that the current account andbudget balance in1047298ation exchange and short-term interest ratesamong other factors in1047298uence the cost of long-term 1047297nance of new

EU countries while Afonso and Rault (2010) conclude that the in1047298ation

rate budgetandexternal imbalances have an impacton OECDcountriessovereign spreads

Thus our empirical analysis will consider as determinants of the 10-year government bond yieldsthe GDP real growth rate the public debt-to-GDP ratio the budget balance ratio the in1047298ation rate given by theharmonized index of consumer prices (HICP) the real effective ex-change rate (more speci1047297cally the percentage change to the precedingyear) the current account balance also as a percentage of GDP (all of

these sourced as EC forecasts) the international risk (represented bytheVIXmdashthe SampP 500 implied stock market volatility index) and mone-tary policy (represented by the short-term interest rates de1047297ned by themonetary authority) We also control for the existence and strength of 1047297scal rules including as a variable the Fiscal Rude Index calculated bythe EC

There is a theoretic economic relation between all the variablesaforementioned and the 10-year government bond yields For instancewith high in1047298ation a government tends to unilaterally and partially in-1047298ate away from its 1047297scal indebtedness and the need for a higher nom-inal and real long-term bond yield cannot be discarded Moreoverexpected in1047298ation is also seen as an indicator of macroeconomic stabil-ityimplyinghigher sovereignrisk Deviationsfrom pastin1047298ation can beassumed from the actual in1047298ation rate or taken as an average of pastobservations

In addition thecurrent account balance-to-GDPratio canconveytheexistenceof a gapbetween savingandinvestment andprovide expecta-tions of a future depreciation of the domestic currency Under those cir-cumstances the risk premia demanded by the markets on sovereigndebt may also increase

22 Literature on forecast errors

Regarding forecast errors there are two different topics usuallyexplored errors in governments forecasts and their causes anderrors in independent agencies forecasts and their causes Bothare important for our work due to the dependency of the ECs fore-casts on governments forecasts since they are based on the infor-mation provided by the countrys government

Concerning governments forecasts three main conclusions appearin the literature

1) preliminary data releases are biased and non-ef 1047297cient predictors of thetrue valuesespecially forGDPand publicde1047297cit andseveral cor-rections occur over the subsequent vintages (Castro et al 2011Frankel 2011 Jonung and Martin 2006 Martins and Mora 2007Merola and Peacuterez 2012 Moulin and Wierts 2006)

2) the economic cycle is not fully included in the GDP forecast makingGDP forecast errors an important cause of budget de1047297cit errors(Castro et al 2011 Frankel 2011 Jonung and Martin 2006Merola and Peacuterez 2012 Moulin and Wierts 2006)

3) being subject to a 1047297scal rule without havingstrongandindependentsupervision leads to an increase in GDP and budget de1047297cit errors

possibly due to creative accounting (Frankel 2011 von Hagen andWolff 2006)

Bernoth and Wolff (2008)and von Hagen and Wolff (2006) men-tion that most European Unions members incur in stock 1047298ow ad-

justments (ie the change in their government debt is higherthan the budget de1047297cit) which increases the yields demanded by1047297nancial markets This increase is higher when the events of crea-tive accounting are reported in the media On the other handCastro et al (2011) argue that modi1047297cations in Eurostat budgetrules also explain a signi1047297cant part of forecast errors and forecastsmay be considered rational after 2 years (ie forecast for year t maybe considered correct in year t + 2) This conclusion was the reasonfor the use in our study of forecasts corrections till 2 years ago as

regressors

320 A Afonso AS Nunes Economic Modelling 44 (2015) 319ndash 326

7212019 1-s20-S0264999314000984-main


Concerning independent agencies forecasts two main conclusionsare possible

1) they seem to be unbiased and ef 1047297cient either for the EU and for thenon-EU countries (Melander et al 2007)

2) however they appear to be correlated with the electoral cyclesthough less than those from the government and do not include

all the available information though they consider more informa-tion than governments (Merola and Peacuterez 2012)

Thus according to the available empirical evidence it appearsthat independent agencies forecasts are more reliable than govern-ments which might notably be linked to the fact that governmentshave sometimes to accommodate the political cycle Melander et al(2007) show that the forecasts for GDP in1047298ation current accountbalance and public budgets are the most accurate ones though nottotally correct Indeed the authors report that real growth and bud-get balance forecasts do not show persistent errors (the study coversthe 1970ndash1995 period)

In our analysis we will consider ECs forecasts as they are part of thebasis of budgetary surveillance in the context of the application of theExcessive De1047297cits Procedure and are considered more reliable than thegovernments being a major reference for investors economists andmanagers

3 Data and variables

As already mentioned in our study we use a panel of 15 countriesAustria (AT) Belgium (BE) Germany (DE) Denmark (DK) Spain (ES)Finland (FI) France (FR) United Kingdom (GB) Greece (GR) Ireland(IE) Italy (IT) Luxemburg (LU) Netherlands (NL) Portugal (PT) andSweden (SE)

The ECs forecasts of budget balance-to-GDP ratio (BAL) public debt-to-GDP ratio (DEBT) GDP real growthrate (YR) current account balance(CA) in1047298ation (INF) and real effective exchange rate (REER) were re-

trieved from the ECs website as well as the short-term interest rates(I) the 10-year government bond yields (YIELDS) and the 1047297scal ruleindex (FRI) The VIX was obtained from Bloombergs

The forecasts are released twice a year typically around MarchndashApril (the spring forecast) and OctoberndashNovember (the autumnforecast) therefore our data will be bi-annual As the 1047297rst fore-casts were made in the second semester of 1998 our analysiscovers the period from 19991 till 20121 The short-term interestrates the yields and the VIX used relate to the month of the releaseof the forecast We use monthly yields instead of daily ones inorder to try to capture some market anticipation of the forecastsrelease

It is important to understand correctly the meaning of allvariables We will include forecasts made in year t for year t year

t + 1 and also for years t minus

1 and t minus

2 This choice was based onCastro et al (2011) as mentioned above If forecasts may be con-sidered rational after 2 years investors will not pay much atten-tion to corrections made after that (except if those correctionsare truly signi1047297cant but it is not a frequent occurrence) Moreoveras already said we will use forecasts corrections as variables andnot the forecast itself

Therefore every semester s we have a forecast for variable Xfor country i and year t X t is Our variable of interest will then beΔ X t is = X t is minus X t is minus 1 the difference between forecasts made foryear t in two consecutive semesters We are notinterested in know-ing if the release of the forecast itself has an impact on the yield butwhether if the corrections made in the forecasts are signi1047297cantenough to alter the yields This way we can evaluate if the ECs

and government forecasts have credibility

4 Empirical strategy and results

41 Panel estimation results

Wewillstart by usinga panel data approach to obtain theaggregateeffect of forecasts corrections on the sovereign yields The baselinespeci1047297cation is

YIELDs frac14 β 0 thorn β 1

Δ

X

T

i

s thorn β 2 I i

s thorn β 3 VIX i

s thorn β 4 FRI i

s eth1THORN

where T = t t + 1 t minus 1 t minus 2 refers to theyear of theforecast andX = BAL CA DEBT INF REER YR is the forecasts vector and variesfrom regression to regression depending on the variables we wantto study

Due to the correlation between ΔDEBT and ΔBAL we never includethem in thesame regression We excluded ΔREER t + 1 as a regressor be-cause it had too few observations In addition we perform the analysisseparately for the years when the forecasts are made for which meanswe have a different table with the eight regressions for forecasts foryears t t + 1 t minus 1 and t minus 2 We do this due to the correlation of themajority of the variables from one year to another VIX FRI and theshort-term interest rate are present in all regressions since they arecontrol variables and some forecast variables are repeated in differentregressions in order to test their impact in more than one way Non-linear effects were not accounted for since the focus of the study wasspeci1047297cally to check the effect of the corrections in the EC forecasts Inorder to admit residual heteroscedasticity we always use the White di-agonal covariance matrix

We use instrumental variables for ΔDEBT and ΔBAL regardingforecasts for year t and t + 1 since they are correlated with theYIELDS Every year governments have to make interest paymentsto bond owners an expense that it is accounted for in the budgetbalance and consequently in public debt Therefore the higherthe interest rate demanded by investors in the bonds auction thehigher will be the budget de1047297cit and consequently the stock of fu-ture debt Moreover forecasts for the 1047297scal variables for t and fort + 1 are also likely to be in1047298uenced by the current 10-year second-

ary market bond yieldsAdditionally we have performed the WundashHausmans endogeneity

test for ΔYR also for the forecasts for year t and t + 1 to exclude a pos-sible effect of the 10-year sovereign yields on the countrys economicgrowth Indeed higher yields may push public balances to criticalvalues forcing governments to adopt somewhat more austere pro-grams reducing their expenses or increasing their revenues mostlythrough higher taxation Either way these are negative stimulus tothe economy and may have a contractionary effect on real GDP Finallywe also perform theHausmans test to verify if it is more appropriate touse 1047297xed or random effects 4

For forecasts concerning the year of their release we have publicdebt and the budget balance corrections as signi1047297cant GDP growthrate corrections have statistical signi1047297cance in two of the seven regres-

sions where they are included having a positive effect on yields andreal effective exchange rate in one of the four regressions having a neg-ativecoef 1047297cientTheconstant term short-term interest rate andFRI alsohave an impact on the yields

Regarding the forecasts for the next year1047297scal variables remainsta-tistically signi1047297cant Current account balance corrections appear as sig-ni1047297cant in one of the regressions having a positive but smaller impactthan the 1047297scal variables The constant term short-term interest rateand FRI are signi1047297cant again

In the results obtained withforecasts for year t minus 1 only budget bal-ance is signi1047297cant Public debt no longer has an impact probably be-cause it is dif 1047297cult to hide the true value of this ratio when comparing

4 We report the results for years t and t + 1 the most signi1047297cantones for moreresults

see the working paper version


7212019 1-s20-S0264999314000984-main


to budget balance The constant term short-term interest rate and VIXremain signi1047297cant and VIX starts to appear as well

Finally in the case of forecasts for year t minus 2 none of the 1047297scal var-iables is signi1047297cant We 1047297nd once more that the constant term short-term interest rate and FRI are signi1047297cant as in all the tables aboveMoreover in this case VIX is also signi1047297cant in all regressions probablybecause investors do not pay attention to corrections in forecasts of sofar back thus VIX gains signi1047297cance

Overall we observe that the constant term ΔBAL ΔDEBT I andFRI are signi1047297cant in most of the speci1047297cations The 1047297scal variablesΔBAL and ΔDEBT are the two forecasts corrections in which inves-tors focus on Hence we may say that investors pay attention tocountries 1047297scal behaviour demanding higher yields when thepublic debt ratio increases and the budget balance decreasesmeaning investors penalize countries which engage in an expan-sionary 1047297scal policy 1047297nanced by debt issuance

Table 1

Estimation results for 10-year yields forecasts for year t

(1) (2) (3) (4) (5) (6) (7) (8)

IV Yes Yes Yes Yes Yes Yes Yes NoCit 3526 3494 3555 3662 3523 3460 3580 3639

(0159) (0166) (0169) (0177) (0254) (0262) (0267) (0174)ΔBAL it minus0398 minus0409 minus0442

(0210) (0222) (0228)ΔCAit 0019 minus0027 0013

(0020) (0037) (0026)ΔDEBTit 0135 0132 0150 0077

(0062) (0066) (0078) (0077)ΔINFit 0299 0243 0364 0111

(0206) (0189) (0246) (0141)ΔREER it minus0017 minus0020 minus0031 minus0041

(0027) (0028) (0034) (0022)ΔYR it 0114 0178 0152 minus0166 0194 0157 0131

(0088) (0112) (0090) (0207) (0108) (0119) (0099)Iit 0298 0328 0314 0342 0337 0352 0310 0223

(0038) (0039) (0039) (0040) (0045) (0049) (0046) (0058)VIXit minus0003 minus0002 minus0001 minus0011 0001 minus0004 minus0001 0007

(0006) (0005) (0007) (0008) (0006) (0006) (0007) (0003)FRIit minus0020 minus0084 minus0172 minus0189 minus0164 minus0105 minus0129 minus0053

(0140) (0142) (0054) (0054) (0103) (0099) (0095) (0112)R-square 0357 0329 minus0097 0185 minus0057 minus0048 minus0077 0315N 15 15 15 15 15 15 15 15

Obs 303 303 349 314 349 302 349 302Endogeneity 0396 0493 0204 0099 0802 0879 0794Hausman 0005 0003 0539 0600 0763 0191 0825 0070

Note the asterisks and represent signi1047297cance at 10 5 and 1 level respectively The values present between parentheses are the standard error IV indicates if instrumentalvariables were used in the regression N is the number of countries included in the sample Obs is the number of observations Endogeneity is the p-value obtained by performing theWundashHausman endogeneity test for ΔYR and Hausman is the p-value for the Hausmans random effect test

Table 2

Estimation results for 10-year yields forecasts for year t + 1

(1) (2) (3) (4) (5) (6) (7) (8)


(0207) (0224) (0203) (0202) (0378) (0405) (0314) (0166)ΔBAL it + 1 minus0456 minus0334 minus0373

(0259) (0198) (0209)ΔCAit + 1 0028 0061 0056

(0018) (0038) (0027)ΔDEBTit + 1 0099 0085 0094 0085

(0053) (0052) (0050) (0051)ΔINFit + 1 0200 0190 0207 minus0024

(0164) (0140) (0170) (0063)Δ

REER it minus

0036 minus

0038 minus

0047 minus

0039(0029) (0031) (0037) (0021)ΔYR it + 1 0048 0020 0098 minus0004 0185 minus0017 0106

(0101) (0106) (0092) (0097) (0178) (0179) (0168)Iit 0335 0342 0323 0334 0328 0310 0293 0244

(0048) (0048) (0047) (0046) (0051) (0050) (0054) (0043)VIXit minus0011 minus0011 minus0004 minus0010 minus0013 minus0016 minus0008 0006


(0192) (0069) (0171) (0051) (0089) (0120) (0206) (0106)R-square 0302 0197 0234 0215 minus0412 minus0186 minus0131 0319N 15 15 15 15 15 15 15 15T 303 303 349 314 349 302 349 302Endogeneity 0945 0924 0728 0295 0466 0628 0697Hausman 0001 0103 0089 0231 0101 0169 0028 0000

Note the asterisks and represent signi1047297cance at 10 5 and 1 level respectively The values present between parentheses are the standard error IV indicates if instrumentalvariables were used in the regression N is the number of countries included in the sample Obs is the number of observations Endogeneity is the p-value obtained by performing the

Wundash

Hausman endogeneity test for ΔYR and Hausman is the p-value for the Hausmans random effect test


7212019 1-s20-S0264999314000984-main


Looking at the results we can conclude that investors pay moreattention to corrections made in forecasts for current and next yearthan to corrections made in forecasts for 1 and 2 years back Thismay occur due to investors con1047297dence in ECs forecast accuracy(in fact corrections for previous years tend to be smaller) or ahigher investors preference for values of 1047297scal variables for currentand next years In terms of policy implication if the more accuratevalues are only obtained afterwardsthere will only be a penalization

for worst budget balances and it will be lower than if budgetbalances data were corrected before

The coef 1047297cient for the short-term interest rate is positive Whena central bank increasesthese rates it is engaging in contractionarymonetary policy thus one can expect a deceleration in economicactivity which may worsen budget balances and compromise thecountrys ability to pay the debt thus bringing the yields up Thecoef 1047297cient for the FRI is negative The FRI is calculated based onthe Fiscal Rule Strength Index which evaluates the quality and vis-ibility of a countrys institutional features essential to the correctapplication of the 1047297scal rule The higher their quality and visibilitythe higher is the probability and credibility of following the rulethus the lower are the yields demanded If investors believe thatthe government will oblige to the limits imposed then there is

higher credibility that 1047297scal imbalances will be quickly correctedThe constant term may be interpreted as a risk premium demandedby investors related to the probability of default At the aggregate levelit is on average 3635 but as we will see ahead it differs quite a lotacross countries depending on the perceived risk attributed to eachone

Finally real GDP growth rate forecasts corrections are also signi1047297-cant for years t and t minus 2 It could be expected that this variablewould be as meaningful as the 1047297scal variables as it is a vital indicatorof a countrys economic viability and debt sustainability In spite of itsrelevant value as an indicator of the state of the economy real GDPgrowthrates forecastsare themost volatile5 as they dependon external

and non-controllable factors among others Hence investors may notalways react to small corrections in this variables forecast as they arevery frequent or may actually anticipate some errors (for examplethey may anticipate that forecasts are too optimistic) Another possibleexplication will be given ahead after performing the SUR analysis In-deed if corrections in GDP growth rate forecasts have opposite effectsin the countries yields then when we estimate for the entire panelthese effects may cancel each other leading to the statistic insigni1047297-

cance of these corrections On the one hand higher growth increases1047297rms pro1047297ts investment returns and consequently stock dividendswhich makes the stock market more pro1047297table and attractive leadingto bond selling decrease in bonds prices and increase in bonds yieldsin order to attract investors again (a positively sloped yield curve alsotends to re1047298ectgrowthexpectations) On theother hand highergrowthcan suggest lower debt and budget balance ratios to GDP implying alower probability of default which makes the countrys sovereignbonds safer investments and as a consequence the yields demandedare lower

42 Robustness tests

Although there are ECs forecasts until 20121 the FRI only has data

until 20102 Consequently in the results shown above three forecastsreleases were not included (spring and autumn of 2011 and spring of 2012) In order to overcome this problem we did two robustnesstests to see if the results obtained were still valid 1047297rst we added oneobservation to the FRI making the value for this variable in 2011equal to the one veri1047297ed in 2010 second we removed the FRI fromthe sample All econometric details (instrumental variables random or1047297xed effects YR endogeneity and White covariance matrix) remainvalid (results are available on request)

Comparing the results with one extra FRI observation with theinitial baseline speci1047297cation we observe that 1047297scal variables stillremain the most important variables among the forecasts Howev-er public debt increases its importance being signi1047297cant for allyears (before it was only signi1047297cant for years t and t + 1) and the

magnitude of the budget balance coef 1047297cient is lower it only

Table 3

Individual results of estimations of forecasts for year t regression (2)

Cit DEBTit INFit REER it YR it Iit VIXit R-square Obs

AT 3120 minus0008 minus0127 minus0043 minus0095 0415 0000 0700 24(0198) (0015) (0067) (0031) (0058) (0044) (0007)

BE 3312 minus0047 0006 minus0080 minus0141 0302 0012 0599 25(0208) (0016) (0046) (0023) (0057) (0049) (0007)

DE 2801 0018 minus0038 0014 0032 0550 minus0013 0678 25(0273) (0017) (0074) (0011) (0040) (0064) (0010)

DK 3568 minus0036 0343 minus0102 minus0146 0313 0003 0771 13(0352) (0013) (0323) (0105) (0220) (0147) (0031)

ES 4013 0018 0230 minus0102 minus0194 0117 0005 0283 25(0298) (0047) (0110) (0040) (0141) (0078) (0011)

FI 2852 0119 0052 minus0052 0010 0520 minus0005 0817 25(0189) (0016) (0068) (0025) (0035) (0046) (0007)

FR 3143 0038 minus0030 minus0008 0128 0413 minus0001 0686 25(0199) (0020) (0064) (0019) (0070) (0046) (0007)

GB 3287 0056 0039 0066 0073 0355 minus0005 0763 25(0242) (0027) (0086) (0012) (0097) (0034) (0009)

GR 9080 minus0256 0436 minus0322 minus1082 minus1431 0041 0612 25(1895) (0041) (0420) (0212) (0431) (0519) (0066)

IE 5799 0080 0571 minus0069 0027 minus0526 0022 0474 25(0658) (0020) (0209) (0055) (0111) (0178) (0024)

IT 3995 minus0016 0208 minus0066 minus0089 0085 0017 0247 25(0277) (0032) (0127) (0033) (0105) (0072) (0010)

NL 2970 0008 minus0041 0013 minus0004 0474 minus0004 0643 25

(0256) (0015) (0059) (0024) (0045) (0059) (0009)PT 5823 0035 0959 minus0277 minus0063 minus0711 0052 0492 25(0798) (0048) (0256) (0076) (0225) (0207) (0028)

SE 2671 0039 0156 minus0013 0350 0632 0000 0838 20(0210) (0034) (0136) (0024) (0095) (0062) (0007)

Note theasterisks and represent signi1047297cance at 105 and1 level respectively Thevaluespresentbetween parentheses arethe standarderror Obs is the numberof observations

5 Seefor example Castro et al (2011) Merola and Peacuterez (2012)and Martinsand Mora

(2007)


7212019 1-s20-S0264999314000984-main


appears signi1047297cant in forecasts for year t minus 1 and before it was alsofor years t and t + 1 The real GDP growth rate never appears assigni1047297cant as well as the current account balance On the contraryin1047298ation now appears as signi1047297cant for years t t + 1 and t minus 2when it used to be signi1047297cant only for t minus 2 and real effectiveexchange rate has a signi1047297cant impact regarding forecasts foryears t and t + 1 like current account balance in forecasts foryear t + 1

Hence adding the year2011 to our sample allows keeping the mainconclusions but changes some of the results This may happen due toinstability and uncertainty of this year (in 2011 Portugal asked for a 1047297-nancial assistance implementing the ECECBIMF Economic AdjustmentProgramme Greece asked for a second 1047297nancial loan Italian andSpanish bonds started to be under pressure) which leads to a big-ger suspicion by the investors not relying so much on public bal-ance and GDP growth rate forecasts as they tend to undergoseveral ex-post corrections

As stated above we also tested thesame regressions without theFRIdata which allows for three more time series observations per countryTheresults (available on request) go in the same direction than those of the 1047297rst robustness test

These results seem to con1047297rm theidea that theinstability anduncer-

tainty of 2011 and 2012 may alter somehow the results obtained in theinitial panel The disbelief in governments accounts could have led in-vestors to overlook the budget balance corrections as they did not seethem as very credible in that context and they started to give more im-portance to government debt In additioncountriesbegan to rely on ex-portations to grow as their internal demandwassluggishthus therealeffective exchange rate increased its importance as an indicator of thecountrys economic evolution Also the constant term increased indi-cating that investors demanded a higher risk premium due to higherrisk and uncertainty in the bond market

43 Country estimationmdashSUR

In addition to our panel analysis we have performed an individual

analysis for the countries Investors may react differently to corrections

in forecasts as they give different credibility to each country once theyhave different characteristics

We have estimated a system of equations one for each country to1047297nd theindividual coef 1047297cients Forthat purpose we used theSeeminglyUnrelated Regressions (SUR) model We will use this model in two dif-ferent speci1047297cations due to the correlation between public debt andbudget balance as mentioned above

YIELDs frac14 β 0 thorn β 1 ΔDEBTT is thorn β 2 ΔINFT

is thorn β 3 ΔREER T is thorn β 4

ΔYR T is thorn β 5 I is thorn β 6 VIX is eth2THORN

YIELDs frac14 β 0 thorn β 1 ΔBAL T is thorn β 2 ΔCAT



where T = t t + 1 t minus 1 t minus 2 refers to the year of the forecast FromEq (2) we will create a system of fourteen regressions one for eachcountry (Luxembourg is excluded because it has very few observa-tions) and we do the same with Eq (3) Once again we separate there-gressions through year of forecast so we will have eight systems

regarding forecasts for year t t + 1 t minus

1 and t minus

2 for both regressionsNotice that we removethe FRI as a regressor although it was signi1047297cantin the panel Weneedto do this because the FRI is a constant for Greeceand almost a constant for Belgium and Netherlands which causescollinearity problems

The results of the estimations for years t and t + 1 for regression (2)and (3) are reported in Tables 3 4 5 and 6 6 (See Tables 1 and 2)

Looking at the results we observe that the coef 1047297cients and the sig-ni1047297cant variables naturally vary across countries In addition while inthe initial result corrections to public debt and budget balance theshort-term interest rate and the constant term were the variableswhich stood out now corrections in the real effective exchangerate and real GDP growth rate are also important determinants of the

Table 4

Individual results of estimations of forecasts for year t + 1 regression (2)

Cit DEBTit + 1 INFit + 1 REER it YR it + 1 Iit VIXit R-square Obs

AT 2971 0011 minus0331 minus0037 0174 0444 0006 0686 24(0207) (0012) (0118) (0036) (0093) (0047) (0008)


DE 2269 0024 0238 0029 0155 0574 minus0008 0702 25(0276) (0013) (0100) (0013) (0091) (0066) (0010)

DK 2658 0091 minus1442 minus0150 1600 0519 0025 0847 13(0265) (0037) (0440) (0064) (0467) (0123) (0022)

ES 4037 minus0011 0222 minus0095 minus0200 0054 0011 0192 25(0336) (0021) (0156) (0037) (0130) (0088) (0013)

FI 2669 0073 minus0220 minus0024 0299 0527 0004 0810 25(0203) (0014) (0124) (0023) (0089) (0046) (0007)

FR 3029 0043 0260 minus0037 0207 0436 0000 0741 25(0185) (0011) (0109) (0019) (0069) (0044) (0007)

GB 3030 0024 minus0152 0073 0209 0381 0004 0781 25(0288) (0016) (0147) (0015) (0117) (0038) (0010)


IE 5162 0098 1562 minus0020 0197 minus0748 0032 0453 25(0707) (0027) (0474) (0061) (0168) (0211) (0026)

IT 3790 0022 1235 minus0053 minus0191 0066 0024 0385 25(0269) (0020) (0250) (0030) (0130) (0068) (0010)

NL 2874 0016 0005 0006 0169 0499 0000 0658 25

(0253) (0010) (0015) (0020) (0062) (0059) (0009)PT 5044 0162 2318 minus0311 0671 minus0466 0049 0518 25(0811) (0042) (0532) (0085) (0323) (0206) (0029)

SE 2792 minus0055 minus0249 0005 minus0298 0694 minus0020 0810 20(0239) (0027) (0173) (0028) (0141) (0071) (0008)

Note the asterisks and represent signi1047297cance at 105 and1 level respectively Thevaluespresent between parenthesesare thestandard error Obs is thenumberof observations

6

The results of forecasts for years t minus

1 and t minus

2 are also available from the authors


7212019 1-s20-S0264999314000984-main


10-year bond yields In some countries current account balance andin1047298ation corrections also have a signi1047297cant impact on yields

As it might be expected the estimated coef 1047297cients in Greece Irelandand Portugaltendto be higher than in other countries We seem to con-1047297rm that a countrys credibility is an essential factor in determining itsfunding costs due to the risk premium demanded but also because

countries with lower credibility tend to have yields that are more reac-tive to forecasts corrections

After making the individual analysis it is visible that the realeffective exchange rate and real GDP growth rate corrections are notso important in the panel results because they have opposite effects insome countries

Table 5

Individual results of estimations of forecasts for year t for regression (3)

Cit BAL it CAit REER it YR it Iit VIXit R-square Obs

AT 3108 minus0114 0032 minus0032 minus0034 0390 0002 0707 24(0202) (0076) (0035) (0040) (0060) (0044) (0007)


DE 2840 minus0171 0054 0027 0090 0506 minus0011 0703 25(0262) (0091) (0048) (0019) (0077) (0062) (0009)

DK 3282 minus0260 minus0150 minus0114 0006 0305 0020 0759 13(0310) (0163) (0116) (0079) (0258) (0134) (0026)

ES 4026 0213 0013 minus0117 minus0357 0071 0013 0336 25(0283) (0055) (0016) (0031) (0086) (0073) (0010)

FI 2858 minus0177 minus0046 minus0081 0020 0526 minus0003 0746 25(0215) (0069) (0035) (0028) (0056) (0052) (0008)

FR 3214 minus0168 minus0041 minus0057 0059 0392 minus0005 0729 25(0181) (0050) (0031) (0019) (0053) (0042) (0007)

GB 3372 minus0145 0033 0041 0215 0324 minus0004 0783 25(0217) (0054) (0056) (0010) (0101) (0028) (0008)

GR 8554 0219 minus0456 minus0851 minus0623 minus1576 0065 0529 25(2051) (0188) (0222) (0192) (0500) (0561) (0075)

IE 5595 minus0095 0105 minus0079 0139 minus0440 0027 0350 25(0742) (0022) (0140) (0053) (0076) (0194) (0027)

IT 4048 0301 0187 minus0050 minus0169 0091 0018 0319 25(0264) (0131) (0069) (0036) (0099) (0069) (0009)

NL 3003 minus0049 minus0039 minus0008 minus0033 0469 minus0007 0672 25

(0244) (0060) (0028) (0038) (0070) (0057) (0009)PT 5779 0116 0167 minus0321 0175 minus0575 0051 0387 25(0939) (0219) (0119) (0091) (0245) (0239) (0033)

SE 2707 minus0149 minus0097 minus0021 0279 0677 minus0006 0861 20(0190) (0097) (0066) (0021) (0082) (0057) (0006)


Table 6

Individual results of estimations of forecasts year t + 1 regression (3)

Cit BAL it + 1 CAit + 1 REER it YR it + 1 Iit VIXit R-square Obs

AT 2874 minus0138 0059 minus0025 0237 0411 0011 0750 24(0197) (0049) (0030) (0039) (0100) (0044) (0007)


DE 2694 minus0063 0094 0024 0108 0537 minus0009 0705 25(0265) (0043) (0040) (0020) (0101) (0064) (0009)


ES 3975 0118 0005 minus0074 minus0242 0083 0012 0233 25(0318) (0038) (0014) (0034) (0100) (0080) (0012)

FI 2756 minus0180 minus0023 minus0074 0224 0515 0001 0753 25

(0220) (0040) (0030) (0025) (0089) (0050) (0008)FR 3148 minus0078 minus0030 minus0050 0121 0398 minus0002 0735 25(0180) (0029) (0027) (0017) (0065) (0042) (0007)

GB 3039 minus0049 minus0050 0051 0175 0370 0003 0778 25(0249) (0042) (0061) (0012) (0101) (0032) (0009)

GR 9165 minus0024 minus0791 minus1134 0297 minus2132 0110 0549 25(1980) (0226) (0206) (0219) (0437) (0551) (0073)

IE 5315 0202 minus0062 minus0061 minus0071 minus0466 0047 0276 25(0819) (0115) (0143) (0064) (0138) (0205) (0030)

IT 4028 0033 0064 minus0051 minus0107 0085 0018 0202 25(0300) (0052) (0043) (0025) (0102) (0075) (0011)

NL 2942 minus0051 minus0036 minus0011 0130 0473 minus0003 0683 25(0239) (0034) (0028) (0029) (0072) (0054) (0009)

PT 5670 0178 0090 minus0155 minus0588 minus0495 0026 0404 25(0899) (0205) (0136) (0097) (0258) (0226) (0033)

SE 2799 0242 0060 minus0016 minus0423 0690 minus0018 0816 20(0224) (0135) (0073) (0026) (0213) (0065) (0008)



7212019 1-s20-S0264999314000984-main


5 Conclusion

In ourstudy we have assessed the relevance of macro and 1047297scal fore-cast vintages for the explanation of sovereign yield developments in apanel of 15 EU countries Our analysis covers the period from 19991till 20121

We show that we can draw an important conclusion corrections inthe ECs forecasts do impinge on the 10-year sovereign bond yield

spreads particularly the corrections in 1047297

scal variables (public debt andbudget balance) but this impact is different across countries beingmore pronounced in countries with less favourable economic conditions

It seems that whether or not macro and 1047297scal forecasts are consis-tently seen as credible by the markets plays a relevant work On theone hand the credibility that investors give to ECs forecasts is relevantand on the other hand the credibility that they give to the country andconsequently to governments forecasts is also paramount

As we have seen higher credibility means yields will react less tochanges in forecasts Hence in spite of the incentive that governmentshave to report less accurate forecasts as the penalization is higher incorrections for the current and next years than for previous years if itlowers its credibility it may be worse than revealing the right way thetrue results

A relevant policy implication is that if more accurate values are onlyknown afterwards the market penalization for worst budget balanceswill be lower than if budget balances data was corrected ex-ante Thisimplies the need for a better perception of the forecast errors by marketparticipants which could imply additional scepticism regarding the ini-tial vintage forecasts and already an increase in the yields at thetimeof probably too optimistic 1st year vintage forecasts

We alsosaw evidences that the sovereigndebt crisisaltered thevar-iables to which investors pay attention After including 2011 and 2012forecasts the budget balance lost statistical signi1047297cance public debt be-came a more relevant determinant and the real effective exchange ratestarted to be signi1047297cant as well Also the constant term increased indi-cating that investors demanded a higher risk premium due to higherrisk and uncertainty in the bond market

However it is important to notice that there are some limitations in

ouranalysisIn fact the number of observations is not very large whichmay bias our results especially when we perform the SUR analysis Inaddition the period under analysis is very typical since half of theyears considered encompass the subprime and subsequent sovereigncrisis As follow up work it would be useful to separate the data duringthe sovereign crisis in order to understand its consequences on inves-tors reactions However that is not possible due to the yet low numberof forecasts made after the beginning of the crisis but it stays as apossible future research development

References

Afonso A 2010 Long-term government bond yields and economic forecasts evidencefor the EU Appl Econ Lett 17 (15) 1437ndash1441

Afonso A Gomes P 2010 Do 1047297scal imbalancesdeteriorate sovereign debtrating RevueEacuteconomique 62 (6) 1123ndash1134

Afonso A Rault C 2010 Long-run determinants of sovereign yields CESifo WorkingPaper 3155

Afonso A Arghyrou M Kontonikas A 2012 The determinants of sovereign bond yieldspreads in the EMU Department of Economics ISEG-UTL Working Paper 362012DEUECE

Akitoby B Stratmann T 2006 Fiscal policy and 1047297nancial markets IMF Working Paper16

Alexopoulou I Bunda I Ferrando A 2009 Determinants of government bond spreadsin new EU countries ECB Working Paper 1093

Amira K 2004 Determinants of sovereignEurobonds yield spreads J Bus Finan Acc 31(5ndash6) 795ndash821

Baldacci E Kumar M 2010 Fiscal de1047297cits public debt and sovereign debt yields IMFWorking Paper 184

Bernoth K Wolff G 2008 Fool the markets Creative accounting 1047297scal transparencyand sovereign risk premia Scott J Polit Econ 55 (4) 465ndash487

Canzoneri M Cumby R Diba B 2003 Should the European Central Bank and the Fed-eral Reserve be concerned about 1047297scal policy Proceedings 333-389 Federal ReserveBank of Kansas City

Castro F Peacuterez J Vives M 2011 Fiscal data revisions in Europe Banco de EspantildeaDocumentos de Trabajo Nordm 1106

DellErba S Sola S 2011 Fiscal policy interest rates and risk premia in open economyThe Graduate Institute of International and Development Studies

EC 2011 Public 1047297nances in EMUmdash2011 European CommissionFaini R 2006 Fiscal policy and interest rates in Europe Econ Policy 21 (47) 443ndash489Frankel J 2011 Over-optimism in forecasts by of 1047297cial budget agencies and its implica-

tions Oxf Rev Econ Policy 27 (4) 536ndash562Gruber J Kamin S 2010 Fiscal positions and government bond yields in OECD coun-

tries Board of Governors of the FederalReserveSystem International FinanceDiscus-sion Papers

Hischer J Nosbusch Y 2010 Determinants of sovereign risk macroeconomic funda-mentals and the pricing of sovereign debt Eur Finan Rev 14 235ndash262

Jonung L Martin L 2006 Improving 1047297scal policy in the EU the case for independentforecasts Econ Policy 21 (47) 491ndash534

Laubach T 2009 New evidence on the interest rate effects of budget de1047297cits and debt JEur Econ Assoc 7 (4) 1ndash28

Martins JMora L2007 Howreliable arethe statistics forthe Stability andGrowthPactBanco de Espantildea Notas Estadiacutesticas Nordm 4

Melander A Sismanidis G Grenouilleau D 2007 The track record of the Commissionsforecastsmdashan update Directorate General for Economic and Financial AffairsEuropean Commission

Merola R Peacuterez J 2012 Fiscal forecast errors governments vs independent agenciesBanco de Espantildea Working Paper 1233

Moulin L Wierts P 2006 How credible are multiannual budgetary plans in the EUBanca di ItaliaPorter-Hudak S Quigley M 1994 A new approach in analyzing the effect of de1047297cit an-

nouncements of interest rates J Money Credit Bank 26 (4) 894ndash902von Hagen J Wolff G 2006 What do de1047297cits tell us about debt Empirical evidence on

creative accounting with 1047297scal rules in the EU J Bank Financ 30 (12) 3259ndash3279


7212019 1-s20-S0264999314000984-main


Weperform an econometric analysisof thelinkagesbetweendifferenteconomic forecasts and sovereign yield spreads using a panel of 15 EUcountries (Austria Belgium Germany Denmark Spain Finland FranceUnited Kingdom Greece Ireland Italy Luxembourg NetherlandsPortugal and Sweden) covering the period from 19991 until 20121First we do the analysis for the entire panel and afterwards we studyeach country individually speci1047297cally on the basis of a SUR analysis No-tice that we use as variables the difference between the forecasts of two

consecutive semesters and not the forecast itself This has as purpose toidentify not only the impact of the forecasts corrections in the yieldsbut also the credibility of the previsions

In a nutshell we can draw an important conclusion from ourstudy corrections in the ECs forecasts do impinge on the 10-yearsovereign bond yield spreads particularly the corrections in 1047297scalvariables (public debt and budget balance) but this impact is differ-ent across countries being more pronounced in countries with lessfavourable economic conditions The penalization for the yields ishigher in corrections for the current and next years than for previousyears The fact that markets react to this information on macro and1047297scal forecasts could be consistent with the semi-strong form of ef 1047297cient market hypothesis

This paper is organized as follows Section two covers the relatedliterature Section three explains and discusses the data and the con-struction of the variables Section four presents the empirical strategyand the results Section 1047297ve summarizes the conclusions

2 Literature review

21 Literature on sovereign spreads determinants

To perform our analysis we need to know themaindeterminants of sovereign bond yield spreads There is a great amount of literature onthis subject but there are still some con1047298icting results as there aremany factors which may in1047298uence sovereign spreads

However there aresome conclusionsthat arecommon to themajor-ity of the studies The variables which more often appear as signi1047297cantare the level of GDP GDP per capita or GDP growth rate (Afonso

2010 Hischer and Nosbusch 2010) 1047297scal performance through publicdebt andbudgetbalance (Afonso 2010 Afonsoet al 2012 Akitoby andStratmann 2006 Amira2004 Baldacci andKumar2010 DellErbaandSola 2011 Gruber and Kamin 2010 Laubach 2009) current accountbalance (Amira 2004) and monetary policy (Gruber and Kamin 2010)

The literature also presents several interesting conclusions For ex-ample the impact of the level of public debt is quantitatively lowerthan the one of public de1047297cits (Faini 2006 Laubach 2009) and worst1047297scal behaviour lowers the ratings of sovereign debt (Afonso andGomes 2010) which may induce a rise in theyieldsdemanded by mar-ket participants Indeed government balance and the debt-to-GDP ra-tios could convey relevant information regarding credit risk orliquidity risk and help in explaining cross-country 1047297nancial risk premia

DellErba and Sola (2011) using a panel of 17 OECD countries from

1989 to 2009 conclude that a budget de1047297cit increase has a greater im-pact in small peripheral countries or in countries with low 1047297nancial in-tegration Baldacci andKumar (2010) with data from 31 developed andin developing countries between 1980 and2008reportthat higherdef-icits and levels of public debt lead to a signi1047297cant increase in long-terminterest rates and that the magnitude of such increase depends on theinitial1047297scal institutional and structuralconditionsand on the spilloversof the global 1047297nancial markets

A study by the EC (2011) 1047297nds a negative relationship between thestrength of rules-based 1047297scal governance and sovereign spreads usingthe Fiscal Rules Index as a measure of the quality of the 1047297scal institu-tions Alexopoulou et al (2009) conclude that the current account andbudget balance in1047298ation exchange and short-term interest ratesamong other factors in1047298uence the cost of long-term 1047297nance of new

EU countries while Afonso and Rault (2010) conclude that the in1047298ation

rate budgetandexternal imbalances have an impacton OECDcountriessovereign spreads

Thus our empirical analysis will consider as determinants of the 10-year government bond yieldsthe GDP real growth rate the public debt-to-GDP ratio the budget balance ratio the in1047298ation rate given by theharmonized index of consumer prices (HICP) the real effective ex-change rate (more speci1047297cally the percentage change to the precedingyear) the current account balance also as a percentage of GDP (all of

these sourced as EC forecasts) the international risk (represented bytheVIXmdashthe SampP 500 implied stock market volatility index) and mone-tary policy (represented by the short-term interest rates de1047297ned by themonetary authority) We also control for the existence and strength of 1047297scal rules including as a variable the Fiscal Rude Index calculated bythe EC

There is a theoretic economic relation between all the variablesaforementioned and the 10-year government bond yields For instancewith high in1047298ation a government tends to unilaterally and partially in-1047298ate away from its 1047297scal indebtedness and the need for a higher nom-inal and real long-term bond yield cannot be discarded Moreoverexpected in1047298ation is also seen as an indicator of macroeconomic stabil-ityimplyinghigher sovereignrisk Deviationsfrom pastin1047298ation can beassumed from the actual in1047298ation rate or taken as an average of pastobservations

In addition thecurrent account balance-to-GDPratio canconveytheexistenceof a gapbetween savingandinvestment andprovide expecta-tions of a future depreciation of the domestic currency Under those cir-cumstances the risk premia demanded by the markets on sovereigndebt may also increase

22 Literature on forecast errors

Regarding forecast errors there are two different topics usuallyexplored errors in governments forecasts and their causes anderrors in independent agencies forecasts and their causes Bothare important for our work due to the dependency of the ECs fore-casts on governments forecasts since they are based on the infor-mation provided by the countrys government

Concerning governments forecasts three main conclusions appearin the literature

1) preliminary data releases are biased and non-ef 1047297cient predictors of thetrue valuesespecially forGDPand publicde1047297cit andseveral cor-rections occur over the subsequent vintages (Castro et al 2011Frankel 2011 Jonung and Martin 2006 Martins and Mora 2007Merola and Peacuterez 2012 Moulin and Wierts 2006)

2) the economic cycle is not fully included in the GDP forecast makingGDP forecast errors an important cause of budget de1047297cit errors(Castro et al 2011 Frankel 2011 Jonung and Martin 2006Merola and Peacuterez 2012 Moulin and Wierts 2006)

3) being subject to a 1047297scal rule without havingstrongandindependentsupervision leads to an increase in GDP and budget de1047297cit errors

possibly due to creative accounting (Frankel 2011 von Hagen andWolff 2006)

Bernoth and Wolff (2008)and von Hagen and Wolff (2006) men-tion that most European Unions members incur in stock 1047298ow ad-

justments (ie the change in their government debt is higherthan the budget de1047297cit) which increases the yields demanded by1047297nancial markets This increase is higher when the events of crea-tive accounting are reported in the media On the other handCastro et al (2011) argue that modi1047297cations in Eurostat budgetrules also explain a signi1047297cant part of forecast errors and forecastsmay be considered rational after 2 years (ie forecast for year t maybe considered correct in year t + 2) This conclusion was the reasonfor the use in our study of forecasts corrections till 2 years ago as

regressors


7212019 1-s20-S0264999314000984-main















1 and t minus








Δ

X

T

i

s thorn β 2 I i

s thorn β 3 VIX i

s thorn β 4 FRI i

s eth1THORN













7212019 1-s20-S0264999314000984-main





Table 1


(1) (2) (3) (4) (5) (6) (7) (8)



(0210) (0222) (0228)ΔCAit 0019 minus0027 0013

(0020) (0037) (0026)ΔDEBTit 0135 0132 0150 0077

(0062) (0066) (0078) (0077)ΔINFit 0299 0243 0364 0111


(0027) (0028) (0034) (0022)ΔYR it 0114 0178 0152 minus0166 0194 0157 0131

(0088) (0112) (0090) (0207) (0108) (0119) (0099)Iit 0298 0328 0314 0342 0337 0352 0310 0223






Table 2


(1) (2) (3) (4) (5) (6) (7) (8)



(0259) (0198) (0209)ΔCAit + 1 0028 0061 0056

(0018) (0038) (0027)ΔDEBTit + 1 0099 0085 0094 0085

(0053) (0052) (0050) (0051)ΔINFit + 1 0200 0190 0207 minus0024

(0164) (0140) (0170) (0063)Δ

REER it minus

0036 minus

0038 minus

0047 minus


(0101) (0106) (0092) (0097) (0178) (0179) (0168)Iit 0335 0342 0323 0334 0328 0310 0293 0244





Wundash



7212019 1-s20-S0264999314000984-main









42 Robustness tests





Table 3





DE 2801 0018 minus0038 0014 0032 0550 minus0013 0678 25(0273) (0017) (0074) (0011) (0040) (0064) (0010)


ES 4013 0018 0230 minus0102 minus0194 0117 0005 0283 25(0298) (0047) (0110) (0040) (0141) (0078) (0011)

FI 2852 0119 0052 minus0052 0010 0520 minus0005 0817 25(0189) (0016) (0068) (0025) (0035) (0046) (0007)


GB 3287 0056 0039 0066 0073 0355 minus0005 0763 25(0242) (0027) (0086) (0012) (0097) (0034) (0009)


IE 5799 0080 0571 minus0069 0027 minus0526 0022 0474 25(0658) (0020) (0209) (0055) (0111) (0178) (0024)




SE 2671 0039 0156 minus0013 0350 0632 0000 0838 20(0210) (0034) (0136) (0024) (0095) (0062) (0007)



(2007)


7212019 1-s20-S0264999314000984-main




















1 and t minus




Table 4



AT 2971 0011 minus0331 minus0037 0174 0444 0006 0686 24(0207) (0012) (0118) (0036) (0093) (0047) (0008)


DE 2269 0024 0238 0029 0155 0574 minus0008 0702 25(0276) (0013) (0100) (0013) (0091) (0066) (0010)

DK 2658 0091 minus1442 minus0150 1600 0519 0025 0847 13(0265) (0037) (0440) (0064) (0467) (0123) (0022)


FI 2669 0073 minus0220 minus0024 0299 0527 0004 0810 25(0203) (0014) (0124) (0023) (0089) (0046) (0007)

FR 3029 0043 0260 minus0037 0207 0436 0000 0741 25(0185) (0011) (0109) (0019) (0069) (0044) (0007)

GB 3030 0024 minus0152 0073 0209 0381 0004 0781 25(0288) (0016) (0147) (0015) (0117) (0038) (0010)


IE 5162 0098 1562 minus0020 0197 minus0748 0032 0453 25(0707) (0027) (0474) (0061) (0168) (0211) (0026)

IT 3790 0022 1235 minus0053 minus0191 0066 0024 0385 25(0269) (0020) (0250) (0030) (0130) (0068) (0010)

NL 2874 0016 0005 0006 0169 0499 0000 0658 25

(0253) (0010) (0015) (0020) (0062) (0059) (0009)PT 5044 0162 2318 minus0311 0671 minus0466 0049 0518 25(0811) (0042) (0532) (0085) (0323) (0206) (0029)



6


1 and t minus



7212019 1-s20-S0264999314000984-main






Table 5





DE 2840 minus0171 0054 0027 0090 0506 minus0011 0703 25(0262) (0091) (0048) (0019) (0077) (0062) (0009)


ES 4026 0213 0013 minus0117 minus0357 0071 0013 0336 25(0283) (0055) (0016) (0031) (0086) (0073) (0010)



GB 3372 minus0145 0033 0041 0215 0324 minus0004 0783 25(0217) (0054) (0056) (0010) (0101) (0028) (0008)



IT 4048 0301 0187 minus0050 minus0169 0091 0018 0319 25(0264) (0131) (0069) (0036) (0099) (0069) (0009)


(0244) (0060) (0028) (0038) (0070) (0057) (0009)PT 5779 0116 0167 minus0321 0175 minus0575 0051 0387 25(0939) (0219) (0119) (0091) (0245) (0239) (0033)



Table 6



AT 2874 minus0138 0059 minus0025 0237 0411 0011 0750 24(0197) (0049) (0030) (0039) (0100) (0044) (0007)


DE 2694 minus0063 0094 0024 0108 0537 minus0009 0705 25(0265) (0043) (0040) (0020) (0101) (0064) (0009)


ES 3975 0118 0005 minus0074 minus0242 0083 0012 0233 25(0318) (0038) (0014) (0034) (0100) (0080) (0012)



GB 3039 minus0049 minus0050 0051 0175 0370 0003 0778 25(0249) (0042) (0061) (0012) (0101) (0032) (0009)



IT 4028 0033 0064 minus0051 minus0107 0085 0018 0202 25(0300) (0052) (0043) (0025) (0102) (0075) (0011)






7212019 1-s20-S0264999314000984-main


5 Conclusion











References


























7212019 1-s20-S0264999314000984-main















1 and t minus








Δ

X

T

i

s thorn β 2 I i

s thorn β 3 VIX i

s thorn β 4 FRI i

s eth1THORN













7212019 1-s20-S0264999314000984-main





Table 1


(1) (2) (3) (4) (5) (6) (7) (8)



(0210) (0222) (0228)ΔCAit 0019 minus0027 0013

(0020) (0037) (0026)ΔDEBTit 0135 0132 0150 0077

(0062) (0066) (0078) (0077)ΔINFit 0299 0243 0364 0111


(0027) (0028) (0034) (0022)ΔYR it 0114 0178 0152 minus0166 0194 0157 0131

(0088) (0112) (0090) (0207) (0108) (0119) (0099)Iit 0298 0328 0314 0342 0337 0352 0310 0223






Table 2


(1) (2) (3) (4) (5) (6) (7) (8)



(0259) (0198) (0209)ΔCAit + 1 0028 0061 0056

(0018) (0038) (0027)ΔDEBTit + 1 0099 0085 0094 0085

(0053) (0052) (0050) (0051)ΔINFit + 1 0200 0190 0207 minus0024

(0164) (0140) (0170) (0063)Δ

REER it minus

0036 minus

0038 minus

0047 minus


(0101) (0106) (0092) (0097) (0178) (0179) (0168)Iit 0335 0342 0323 0334 0328 0310 0293 0244





Wundash



7212019 1-s20-S0264999314000984-main









42 Robustness tests





Table 3





DE 2801 0018 minus0038 0014 0032 0550 minus0013 0678 25(0273) (0017) (0074) (0011) (0040) (0064) (0010)


ES 4013 0018 0230 minus0102 minus0194 0117 0005 0283 25(0298) (0047) (0110) (0040) (0141) (0078) (0011)

FI 2852 0119 0052 minus0052 0010 0520 minus0005 0817 25(0189) (0016) (0068) (0025) (0035) (0046) (0007)


GB 3287 0056 0039 0066 0073 0355 minus0005 0763 25(0242) (0027) (0086) (0012) (0097) (0034) (0009)


IE 5799 0080 0571 minus0069 0027 minus0526 0022 0474 25(0658) (0020) (0209) (0055) (0111) (0178) (0024)




SE 2671 0039 0156 minus0013 0350 0632 0000 0838 20(0210) (0034) (0136) (0024) (0095) (0062) (0007)



(2007)


7212019 1-s20-S0264999314000984-main




















1 and t minus




Table 4



AT 2971 0011 minus0331 minus0037 0174 0444 0006 0686 24(0207) (0012) (0118) (0036) (0093) (0047) (0008)


DE 2269 0024 0238 0029 0155 0574 minus0008 0702 25(0276) (0013) (0100) (0013) (0091) (0066) (0010)

DK 2658 0091 minus1442 minus0150 1600 0519 0025 0847 13(0265) (0037) (0440) (0064) (0467) (0123) (0022)


FI 2669 0073 minus0220 minus0024 0299 0527 0004 0810 25(0203) (0014) (0124) (0023) (0089) (0046) (0007)

FR 3029 0043 0260 minus0037 0207 0436 0000 0741 25(0185) (0011) (0109) (0019) (0069) (0044) (0007)

GB 3030 0024 minus0152 0073 0209 0381 0004 0781 25(0288) (0016) (0147) (0015) (0117) (0038) (0010)


IE 5162 0098 1562 minus0020 0197 minus0748 0032 0453 25(0707) (0027) (0474) (0061) (0168) (0211) (0026)

IT 3790 0022 1235 minus0053 minus0191 0066 0024 0385 25(0269) (0020) (0250) (0030) (0130) (0068) (0010)

NL 2874 0016 0005 0006 0169 0499 0000 0658 25

(0253) (0010) (0015) (0020) (0062) (0059) (0009)PT 5044 0162 2318 minus0311 0671 minus0466 0049 0518 25(0811) (0042) (0532) (0085) (0323) (0206) (0029)



6


1 and t minus



7212019 1-s20-S0264999314000984-main






Table 5





DE 2840 minus0171 0054 0027 0090 0506 minus0011 0703 25(0262) (0091) (0048) (0019) (0077) (0062) (0009)


ES 4026 0213 0013 minus0117 minus0357 0071 0013 0336 25(0283) (0055) (0016) (0031) (0086) (0073) (0010)



GB 3372 minus0145 0033 0041 0215 0324 minus0004 0783 25(0217) (0054) (0056) (0010) (0101) (0028) (0008)



IT 4048 0301 0187 minus0050 minus0169 0091 0018 0319 25(0264) (0131) (0069) (0036) (0099) (0069) (0009)


(0244) (0060) (0028) (0038) (0070) (0057) (0009)PT 5779 0116 0167 minus0321 0175 minus0575 0051 0387 25(0939) (0219) (0119) (0091) (0245) (0239) (0033)



Table 6



AT 2874 minus0138 0059 minus0025 0237 0411 0011 0750 24(0197) (0049) (0030) (0039) (0100) (0044) (0007)


DE 2694 minus0063 0094 0024 0108 0537 minus0009 0705 25(0265) (0043) (0040) (0020) (0101) (0064) (0009)


ES 3975 0118 0005 minus0074 minus0242 0083 0012 0233 25(0318) (0038) (0014) (0034) (0100) (0080) (0012)



GB 3039 minus0049 minus0050 0051 0175 0370 0003 0778 25(0249) (0042) (0061) (0012) (0101) (0032) (0009)



IT 4028 0033 0064 minus0051 minus0107 0085 0018 0202 25(0300) (0052) (0043) (0025) (0102) (0075) (0011)






7212019 1-s20-S0264999314000984-main


5 Conclusion











References


























7212019 1-s20-S0264999314000984-main





Table 1


(1) (2) (3) (4) (5) (6) (7) (8)



(0210) (0222) (0228)ΔCAit 0019 minus0027 0013

(0020) (0037) (0026)ΔDEBTit 0135 0132 0150 0077

(0062) (0066) (0078) (0077)ΔINFit 0299 0243 0364 0111


(0027) (0028) (0034) (0022)ΔYR it 0114 0178 0152 minus0166 0194 0157 0131

(0088) (0112) (0090) (0207) (0108) (0119) (0099)Iit 0298 0328 0314 0342 0337 0352 0310 0223






Table 2


(1) (2) (3) (4) (5) (6) (7) (8)



(0259) (0198) (0209)ΔCAit + 1 0028 0061 0056

(0018) (0038) (0027)ΔDEBTit + 1 0099 0085 0094 0085

(0053) (0052) (0050) (0051)ΔINFit + 1 0200 0190 0207 minus0024

(0164) (0140) (0170) (0063)Δ

REER it minus

0036 minus

0038 minus

0047 minus


(0101) (0106) (0092) (0097) (0178) (0179) (0168)Iit 0335 0342 0323 0334 0328 0310 0293 0244





Wundash



7212019 1-s20-S0264999314000984-main









42 Robustness tests





Table 3





DE 2801 0018 minus0038 0014 0032 0550 minus0013 0678 25(0273) (0017) (0074) (0011) (0040) (0064) (0010)


ES 4013 0018 0230 minus0102 minus0194 0117 0005 0283 25(0298) (0047) (0110) (0040) (0141) (0078) (0011)

FI 2852 0119 0052 minus0052 0010 0520 minus0005 0817 25(0189) (0016) (0068) (0025) (0035) (0046) (0007)


GB 3287 0056 0039 0066 0073 0355 minus0005 0763 25(0242) (0027) (0086) (0012) (0097) (0034) (0009)


IE 5799 0080 0571 minus0069 0027 minus0526 0022 0474 25(0658) (0020) (0209) (0055) (0111) (0178) (0024)




SE 2671 0039 0156 minus0013 0350 0632 0000 0838 20(0210) (0034) (0136) (0024) (0095) (0062) (0007)



(2007)


7212019 1-s20-S0264999314000984-main




















1 and t minus




Table 4



AT 2971 0011 minus0331 minus0037 0174 0444 0006 0686 24(0207) (0012) (0118) (0036) (0093) (0047) (0008)


DE 2269 0024 0238 0029 0155 0574 minus0008 0702 25(0276) (0013) (0100) (0013) (0091) (0066) (0010)

DK 2658 0091 minus1442 minus0150 1600 0519 0025 0847 13(0265) (0037) (0440) (0064) (0467) (0123) (0022)


FI 2669 0073 minus0220 minus0024 0299 0527 0004 0810 25(0203) (0014) (0124) (0023) (0089) (0046) (0007)

FR 3029 0043 0260 minus0037 0207 0436 0000 0741 25(0185) (0011) (0109) (0019) (0069) (0044) (0007)

GB 3030 0024 minus0152 0073 0209 0381 0004 0781 25(0288) (0016) (0147) (0015) (0117) (0038) (0010)


IE 5162 0098 1562 minus0020 0197 minus0748 0032 0453 25(0707) (0027) (0474) (0061) (0168) (0211) (0026)

IT 3790 0022 1235 minus0053 minus0191 0066 0024 0385 25(0269) (0020) (0250) (0030) (0130) (0068) (0010)

NL 2874 0016 0005 0006 0169 0499 0000 0658 25

(0253) (0010) (0015) (0020) (0062) (0059) (0009)PT 5044 0162 2318 minus0311 0671 minus0466 0049 0518 25(0811) (0042) (0532) (0085) (0323) (0206) (0029)



6


1 and t minus



7212019 1-s20-S0264999314000984-main






Table 5





DE 2840 minus0171 0054 0027 0090 0506 minus0011 0703 25(0262) (0091) (0048) (0019) (0077) (0062) (0009)


ES 4026 0213 0013 minus0117 minus0357 0071 0013 0336 25(0283) (0055) (0016) (0031) (0086) (0073) (0010)



GB 3372 minus0145 0033 0041 0215 0324 minus0004 0783 25(0217) (0054) (0056) (0010) (0101) (0028) (0008)



IT 4048 0301 0187 minus0050 minus0169 0091 0018 0319 25(0264) (0131) (0069) (0036) (0099) (0069) (0009)


(0244) (0060) (0028) (0038) (0070) (0057) (0009)PT 5779 0116 0167 minus0321 0175 minus0575 0051 0387 25(0939) (0219) (0119) (0091) (0245) (0239) (0033)



Table 6



AT 2874 minus0138 0059 minus0025 0237 0411 0011 0750 24(0197) (0049) (0030) (0039) (0100) (0044) (0007)


DE 2694 minus0063 0094 0024 0108 0537 minus0009 0705 25(0265) (0043) (0040) (0020) (0101) (0064) (0009)


ES 3975 0118 0005 minus0074 minus0242 0083 0012 0233 25(0318) (0038) (0014) (0034) (0100) (0080) (0012)



GB 3039 minus0049 minus0050 0051 0175 0370 0003 0778 25(0249) (0042) (0061) (0012) (0101) (0032) (0009)



IT 4028 0033 0064 minus0051 minus0107 0085 0018 0202 25(0300) (0052) (0043) (0025) (0102) (0075) (0011)






7212019 1-s20-S0264999314000984-main


5 Conclusion











References


























7212019 1-s20-S0264999314000984-main









42 Robustness tests





Table 3





DE 2801 0018 minus0038 0014 0032 0550 minus0013 0678 25(0273) (0017) (0074) (0011) (0040) (0064) (0010)


ES 4013 0018 0230 minus0102 minus0194 0117 0005 0283 25(0298) (0047) (0110) (0040) (0141) (0078) (0011)

FI 2852 0119 0052 minus0052 0010 0520 minus0005 0817 25(0189) (0016) (0068) (0025) (0035) (0046) (0007)


GB 3287 0056 0039 0066 0073 0355 minus0005 0763 25(0242) (0027) (0086) (0012) (0097) (0034) (0009)


IE 5799 0080 0571 minus0069 0027 minus0526 0022 0474 25(0658) (0020) (0209) (0055) (0111) (0178) (0024)




SE 2671 0039 0156 minus0013 0350 0632 0000 0838 20(0210) (0034) (0136) (0024) (0095) (0062) (0007)



(2007)


7212019 1-s20-S0264999314000984-main




















1 and t minus




Table 4



AT 2971 0011 minus0331 minus0037 0174 0444 0006 0686 24(0207) (0012) (0118) (0036) (0093) (0047) (0008)


DE 2269 0024 0238 0029 0155 0574 minus0008 0702 25(0276) (0013) (0100) (0013) (0091) (0066) (0010)

DK 2658 0091 minus1442 minus0150 1600 0519 0025 0847 13(0265) (0037) (0440) (0064) (0467) (0123) (0022)


FI 2669 0073 minus0220 minus0024 0299 0527 0004 0810 25(0203) (0014) (0124) (0023) (0089) (0046) (0007)

FR 3029 0043 0260 minus0037 0207 0436 0000 0741 25(0185) (0011) (0109) (0019) (0069) (0044) (0007)

GB 3030 0024 minus0152 0073 0209 0381 0004 0781 25(0288) (0016) (0147) (0015) (0117) (0038) (0010)


IE 5162 0098 1562 minus0020 0197 minus0748 0032 0453 25(0707) (0027) (0474) (0061) (0168) (0211) (0026)

IT 3790 0022 1235 minus0053 minus0191 0066 0024 0385 25(0269) (0020) (0250) (0030) (0130) (0068) (0010)

NL 2874 0016 0005 0006 0169 0499 0000 0658 25

(0253) (0010) (0015) (0020) (0062) (0059) (0009)PT 5044 0162 2318 minus0311 0671 minus0466 0049 0518 25(0811) (0042) (0532) (0085) (0323) (0206) (0029)



6


1 and t minus



7212019 1-s20-S0264999314000984-main






Table 5





DE 2840 minus0171 0054 0027 0090 0506 minus0011 0703 25(0262) (0091) (0048) (0019) (0077) (0062) (0009)


ES 4026 0213 0013 minus0117 minus0357 0071 0013 0336 25(0283) (0055) (0016) (0031) (0086) (0073) (0010)



GB 3372 minus0145 0033 0041 0215 0324 minus0004 0783 25(0217) (0054) (0056) (0010) (0101) (0028) (0008)



IT 4048 0301 0187 minus0050 minus0169 0091 0018 0319 25(0264) (0131) (0069) (0036) (0099) (0069) (0009)


(0244) (0060) (0028) (0038) (0070) (0057) (0009)PT 5779 0116 0167 minus0321 0175 minus0575 0051 0387 25(0939) (0219) (0119) (0091) (0245) (0239) (0033)



Table 6



AT 2874 minus0138 0059 minus0025 0237 0411 0011 0750 24(0197) (0049) (0030) (0039) (0100) (0044) (0007)


DE 2694 minus0063 0094 0024 0108 0537 minus0009 0705 25(0265) (0043) (0040) (0020) (0101) (0064) (0009)


ES 3975 0118 0005 minus0074 minus0242 0083 0012 0233 25(0318) (0038) (0014) (0034) (0100) (0080) (0012)



GB 3039 minus0049 minus0050 0051 0175 0370 0003 0778 25(0249) (0042) (0061) (0012) (0101) (0032) (0009)



IT 4028 0033 0064 minus0051 minus0107 0085 0018 0202 25(0300) (0052) (0043) (0025) (0102) (0075) (0011)






7212019 1-s20-S0264999314000984-main


5 Conclusion











References


























7212019 1-s20-S0264999314000984-main




















1 and t minus




Table 4



AT 2971 0011 minus0331 minus0037 0174 0444 0006 0686 24(0207) (0012) (0118) (0036) (0093) (0047) (0008)


DE 2269 0024 0238 0029 0155 0574 minus0008 0702 25(0276) (0013) (0100) (0013) (0091) (0066) (0010)

DK 2658 0091 minus1442 minus0150 1600 0519 0025 0847 13(0265) (0037) (0440) (0064) (0467) (0123) (0022)


FI 2669 0073 minus0220 minus0024 0299 0527 0004 0810 25(0203) (0014) (0124) (0023) (0089) (0046) (0007)

FR 3029 0043 0260 minus0037 0207 0436 0000 0741 25(0185) (0011) (0109) (0019) (0069) (0044) (0007)

GB 3030 0024 minus0152 0073 0209 0381 0004 0781 25(0288) (0016) (0147) (0015) (0117) (0038) (0010)


IE 5162 0098 1562 minus0020 0197 minus0748 0032 0453 25(0707) (0027) (0474) (0061) (0168) (0211) (0026)

IT 3790 0022 1235 minus0053 minus0191 0066 0024 0385 25(0269) (0020) (0250) (0030) (0130) (0068) (0010)

NL 2874 0016 0005 0006 0169 0499 0000 0658 25

(0253) (0010) (0015) (0020) (0062) (0059) (0009)PT 5044 0162 2318 minus0311 0671 minus0466 0049 0518 25(0811) (0042) (0532) (0085) (0323) (0206) (0029)



6


1 and t minus



7212019 1-s20-S0264999314000984-main






Table 5





DE 2840 minus0171 0054 0027 0090 0506 minus0011 0703 25(0262) (0091) (0048) (0019) (0077) (0062) (0009)


ES 4026 0213 0013 minus0117 minus0357 0071 0013 0336 25(0283) (0055) (0016) (0031) (0086) (0073) (0010)



GB 3372 minus0145 0033 0041 0215 0324 minus0004 0783 25(0217) (0054) (0056) (0010) (0101) (0028) (0008)



IT 4048 0301 0187 minus0050 minus0169 0091 0018 0319 25(0264) (0131) (0069) (0036) (0099) (0069) (0009)


(0244) (0060) (0028) (0038) (0070) (0057) (0009)PT 5779 0116 0167 minus0321 0175 minus0575 0051 0387 25(0939) (0219) (0119) (0091) (0245) (0239) (0033)



Table 6



AT 2874 minus0138 0059 minus0025 0237 0411 0011 0750 24(0197) (0049) (0030) (0039) (0100) (0044) (0007)


DE 2694 minus0063 0094 0024 0108 0537 minus0009 0705 25(0265) (0043) (0040) (0020) (0101) (0064) (0009)


ES 3975 0118 0005 minus0074 minus0242 0083 0012 0233 25(0318) (0038) (0014) (0034) (0100) (0080) (0012)



GB 3039 minus0049 minus0050 0051 0175 0370 0003 0778 25(0249) (0042) (0061) (0012) (0101) (0032) (0009)



IT 4028 0033 0064 minus0051 minus0107 0085 0018 0202 25(0300) (0052) (0043) (0025) (0102) (0075) (0011)






7212019 1-s20-S0264999314000984-main


5 Conclusion











References


























7212019 1-s20-S0264999314000984-main






Table 5





DE 2840 minus0171 0054 0027 0090 0506 minus0011 0703 25(0262) (0091) (0048) (0019) (0077) (0062) (0009)


ES 4026 0213 0013 minus0117 minus0357 0071 0013 0336 25(0283) (0055) (0016) (0031) (0086) (0073) (0010)



GB 3372 minus0145 0033 0041 0215 0324 minus0004 0783 25(0217) (0054) (0056) (0010) (0101) (0028) (0008)



IT 4048 0301 0187 minus0050 minus0169 0091 0018 0319 25(0264) (0131) (0069) (0036) (0099) (0069) (0009)


(0244) (0060) (0028) (0038) (0070) (0057) (0009)PT 5779 0116 0167 minus0321 0175 minus0575 0051 0387 25(0939) (0219) (0119) (0091) (0245) (0239) (0033)



Table 6



AT 2874 minus0138 0059 minus0025 0237 0411 0011 0750 24(0197) (0049) (0030) (0039) (0100) (0044) (0007)


DE 2694 minus0063 0094 0024 0108 0537 minus0009 0705 25(0265) (0043) (0040) (0020) (0101) (0064) (0009)


ES 3975 0118 0005 minus0074 minus0242 0083 0012 0233 25(0318) (0038) (0014) (0034) (0100) (0080) (0012)



GB 3039 minus0049 minus0050 0051 0175 0370 0003 0778 25(0249) (0042) (0061) (0012) (0101) (0032) (0009)



IT 4028 0033 0064 minus0051 minus0107 0085 0018 0202 25(0300) (0052) (0043) (0025) (0102) (0075) (0011)






7212019 1-s20-S0264999314000984-main


5 Conclusion











References


























7212019 1-s20-S0264999314000984-main


5 Conclusion











References


























1-s2.0-S0264999314000984-main

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