Arbeitspapier
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 3155
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Interest Rates: Determination, Term Structure, and Effects
Fiscal Policy
General Financial Markets: General (includes Measurement and Data)
National Deficit; Surplus
- Subject
-
long-term yields
panel cointegration
bootstrap
Öffentliche Anleihe
Rendite
Panel
Schätzung
Haushaltsdefizit
Zahlungsbilanzungleichgewicht
Inflation
OECD-Staaten
- Event
-
Geistige Schöpfung
- (who)
-
Afonso, António
Rault, Christophe
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Afonso, António
- Rault, Christophe
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2010
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