Macroeconomic fundamentals impact the long-term insolvency problem of a country. This article empirically assesses the role played by both macroeconomic and fiscal fundamentals, proxied by a set of European Commission’s forecasts, in affecting sovereign bond yields. We look at a large panel of 25 European countries between 1992 and 2015. By means panel and time-series approaches, we find that lower short-term interest rates and better fiscal institutions tend to lower bond yields. The better the economic and fiscal outlooks going forward, the lower the yields demanded in international markets. Timing also matters: investors seem to pay more attention to forecasts the shorter the forecast horizon, and they started carrying more weight since the Global Financial Crisis. Finally, the impact of yields’ determinants is different across countries, being more prominent in those characterized by economic hardship conditions (Greece, Ireland, Spain, and Portugal). (JEL codes: C23, E44, H68)

中文翻译：

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宏观经济基本面如何影响主权债券收益率？欧洲预测的新证据

宏观经济基本面影响一个国家的长期破产问题。本文根据经验评估了宏观经济和财政基本面在欧盟委员会的一系列预测的支持下在影响主权债券收益率方面所起的作用。我们考察了1992年至2015年间由25个欧洲国家组成的大型小组。通过小组和时间序列方法，我们发现较低的短期利率和较好的财政制度往往会降低债券收益率。未来的经济和财政前景越好，国际市场所需的收益就越低。时间安排也很重要：投资者似乎对预测的关注时间越短，预测范围越短，自全球金融危机以来，他们开始承担更大的责任。最后，收益决定因素的影响因国家而异，在那些经济困难的国家（希腊，爱尔兰，西班牙和葡萄牙）中更为突出。（JEL代码：C23，E44，H68）