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Title:Short and long-run behaviour of long-term sovereign bond yields PDF Logo
Authors:Afonso, António
Issue Date:2010
Series/Report no.:CESifo working paper: Fiscal Policy, Macroeconomics and Growth 3249
Abstract:This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of cross-country dependence regarding sovereign yields and its determinants, we resort to simulation and bootstrap methods for the analysis. Results based on the Common Correlated Effect estimator of Pesaran (2006) and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that in addition to common movements in sovereign yields, investors also consider country differences arising from specific factors (inflation, budgetary and current account imbalances, real effective exchange rates, and liquidity).
Subjects:long-term yields
EU
financial integration
panel cointegration
bootstrap
JEL:C23
E43
E62
G15
H62
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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