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Tanweer Akram () and Anupam Das ()
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Tanweer Akram: Thrivent Financial, USA
Anupam Das: Department of Economics, Justice, and Policy Studies, Mount Royal University, Alberta, Canada

Annals of Financial Economics (AFE), 2017, vol. 12, issue 03, 1-18

Abstract: This paper investigates the determinants of nominal yields of government bonds in the euro zone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11 euro zone countries. Furthermore, the autoregressive distributive lag (ARDL) methods are used to address the same question for individual countries. The results show that short-term interest rates are the most important determinants of long-term government bonds’ nominal yields. These results support Keynes’s view that short-term interest rates and other monetary policy measures have a decisive influence on long-term interest rates on government bonds.

Keywords: Government bond yields; interest rates; monetary policy; the euro zone (search for similar items in EconPapers)
Date: 2017
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