Afonso, AntónioRault, Christophe2010-10-012010-10-012010Afonso, António e Christophe Rault. 2010. "Long-run determinants of sovereign yields". Instituto Superior de Economia e Gestão - DE Working papers 15-2010/DE/UECE0874-4548http://hdl.handle.net/10400.5/2315We 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.engLong-Term YieldsPanel CointegrationBootstrapworking paper