How do Experts Forecast Sovereign Spreads

摘要: 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 October 2014, we test whether respondents consider expected evolution of fiscal balance—and other economic fundamentals—to be significant drivers yield differential over a benchmark German 10-year bond. Our main result is that projected improvement outlook significantly reduces sovereign suggests credible plans affect market experts’ reduce pressure on markets. In addition, show fundamentals generally play more important role in explaining forecasted spreads compared to realized