Long-run Determinants of Sovereign Yields

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant determinants of sovereign yields.

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Year of publication:	2011
Authors:	Rault, Christophe ; Afonso, António
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 31.2011, 1, p. 367-374
Publisher:	AccessEcon
Subject:	long-term yields \| panel cointegration \| bootstrap

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	E6 - Macroeconomic Policy Formation, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook ; H6 - National Budget, Deficit, and Debt
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008802470