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Authors
Advisor(s)
Abstract(s)
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.
Description
Keywords
Long-Term Yields Panel Cointegration Bootstrap
Pedagogical Context
Citation
Afonso, António e Christophe Rault. 2010. "Long-run determinants of sovereign yields". Instituto Superior de Economia e Gestão - DE Working papers 15-2010/DE/UECE
Publisher
ISEG - Departamento de Economia