Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39848
Authors: 
Afonso, António
Rault, Christophe
Year of Publication: 
2010
Series/Report no.: 
CESifo working paper Fiscal Policy, Macroeconomics and Growth 3155
Abstract: 
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.
Subjects: 
long-term yields
panel cointegration
bootstrap
JEL: 
C23
E43
E62
G10
H62
Document Type: 
Working Paper

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