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:	[2021]
Authors:	Afonso, António ; Rault, Christophe
Publisher:	[S.l.] : SSRN
Subject:	Öffentliche Anleihe \| Public bond \| Länderrisiko \| Country risk \| Zinsstruktur \| Yield curve

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Extent:	1 Online-Ressource (13 p)
Series:	CESifo Working Paper Series ; No. 3155
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 17, 2010 erstellt
Other identifiers:	10.2139/ssrn.1660368 [DOI]
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:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013316172