Long-run Determinants of Sovereign Yields

Antonio Afonso and Christophe Rault

No 2010/15, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

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 errorcorrection 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: C23 E62 G10 H62 (search for similar items in EconPapers)
Date: 2010-09
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Long-run Determinants of Sovereign Yields (2011)
Working Paper: Long-run Determinants of Sovereign Yields (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ise:isegwp:wp152010

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