Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174238
Authors: 
González-Fernández, Marcos
González-Velasco, Carmen
Year of Publication: 
2016
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 21 [Year:] 2016 [Pages:] 103-116
Abstract: 
The objective of this paper is to classify a group of EMU countries according to the main determinants of long-term sovereign bond yields. We apply the Classification and Regression Tree method (CART). According to the findings, countries with lower inflation, a lower debt to GDP ratio, a lower average income tax rate, higher public debt maturity and higher IPI growth are placed in classification groups that have lower bond yields. These results confirm the hypothesis that countries with better macroeconomic and fiscal indicators have lower sovereign bond yields.
Subjects: 
long-term yields
sovereign yields
classification trees
decision trees
JEL: 
G12
G15
H63
C38
Creative Commons License: 
http://creativecommons.org/licenses/by-sa/3.0/es/
Document Type: 
Article

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