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Revisiting the determinants of sovereign bond yield volatility
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Orientador(es)
Resumo(s)
Although there is an extensive literature regarding volatility in the financial markets, to
our knowledge, few empirical studies specifically focus on the drivers of volatility of
sovereign bond yields. This empirical paper aims to fill part of this gap and to provide
more up to date empirical insights. We add to previous work by examining the issue
simultaneously in a broad number of advanced economies. Our analysis shows that
sovereign bond unconditional volatility exhibits mean-reversion and persistence. Bond
yield volatility responds to proximate market movements and global risk. However, that
response is found to be uneven across geographies, asymmetric in some cases and
possibly time-varying. Macro and policy uncertainty impact depends on the specific
uncertainty measures used and rarely is very meaningful.
Descrição
Palavras-chave
Volatility Bond Market Public Debt Sovereign Risk Panel Data Fixed Effects
Contexto Educativo
Citação
Ferreira, Carlos Alberto Piscarreta Pinto (2022). "Revisiting the determinants of sovereign bond yield volatility". REM Working paper series, nº 0241/2022
Editora
ISEG - REM - Research in Economics and Mathematics