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:	2010
Authors:	Afonso, António ; Rault, Christophe
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Öffentliche Anleihe \| Rendite \| Panel \| Schätzung \| Haushaltsdefizit \| Zahlungsbilanzungleichgewicht \| Inflation \| OECD-Staaten \| long-term yields \| panel cointegration \| bootstrap

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Series:	CESifo Working Paper ; 3155
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	634265202 [GVK] hdl:10419/39848 [Handle]
Classification:	C23 - Models with Panel Data ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E62 - Fiscal Policy; Public Expenditures, Investment, and Finance; Taxation ; G10 - General Financial Markets. General ; H62 - Deficit; Surplus
Source:	EconStor

Persistent link: https://www.econbiz.de/10010270876