Determinants of the government bond yield in Spain: A loanable funds model

Artikel

This paper applies demand and supply analysis to examine the government bond yield in Spain. The sample ranges from 1999.Q1 to 2014.Q2. The EGARCH model is employed in empirical work. The Spanish government bond yield is positively associated with the government debt/GDP ratio, the short-term Treasury bill rate, the expected inflation rate, the US 10 year government bond yield and a dummy variable representing the debt crisis and negatively affected by the GDP growth rate and the expected nominal effective exchange rate.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 342-350 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Fiscal Policy ; Economywide Country Studies: Europe
• Subject: government debt ; long-term interest rate ; expected inflation ; world interest rate ; exchange rate ; loanable funds model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hsing, Yu
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2015

Further information

• DOI: doi:10.3390/ijfs3030342
• Handle: http://hdl.handle.net/10419/167787
• Last update: 10.03.2025, 11:41 AM CET