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Publicação
Long-run determinants of sovereign yields
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Autores
Orientador(es)
Resumo(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.
Descrição
Palavras-chave
Long-Term Yields Panel Cointegration Bootstrap
Contexto Educativo
Citação
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
Editora
ISEG - Departamento de Economia