Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/173498
Authors: 
Akram, Tanweer
Das, Anupam
Year of Publication: 
2017
Series/Report no.: 
Working Paper 889
Abstract: 
This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11 eurozone countries. Furthermore, autoregressive distributive lag (ARDL) methods are used to address the same question for individual countries. The results show that short-term interest rates are the most important determinants of long-term government bonds' nominal yields, which supports Keynes's (1930) view that short-term interest rates and other monetary policy measures have a decisive influence on long-term interest rates on government bonds.
Subjects: 
Government Bond Yields
Interest Rates
Monetary Policy
Eurozone
JEL: 
E43
E50
E60
G10
G12
O16
Document Type: 
Working Paper
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