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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/39848
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| Title: | | Long-run determinants of sovereign yields  |
| 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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