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Title:Long-run determinants of sovereign yields PDF Logo
Authors:Afonso, António
Rault, Christophe
Issue Date: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
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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