Long-run Determinants of Sovereign Yields

Christophe Rault and Antonio Afonso

Economics Bulletin, 2011, vol. 31, issue 1, 367-374

Abstract: 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.

Keywords: long-term yields; panel cointegration; bootstrap (search for similar items in EconPapers)
JEL-codes: E6 H6 (search for similar items in EconPapers)
Date: 2011-01-19
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Citations: View citations in EconPapers (10)

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http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I1-P35.pdf (application/pdf)

Related works:
Working Paper: Long-run Determinants of Sovereign Yields (2010)
Working Paper: Long-run Determinants of Sovereign Yields (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-10-00715

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