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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 3155
- Klassifikation
-
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
- Thema
-
long-term yields
panel cointegration
bootstrap
Öffentliche Anleihe
Rendite
Panel
Schätzung
Haushaltsdefizit
Zahlungsbilanzungleichgewicht
Inflation
OECD-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Afonso, António
Rault, Christophe
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Afonso, António
- Rault, Christophe
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2010
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