Long-run and short-run determinants of sovereign bond yields in advanced economies /

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"We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-te...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Poghosyan, Tigran (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2012.
Colección:IMF working paper ; WP/12/271.
Temas:
Government securities > Econometric models.
Rate of return > Econometric models.
Cointegration.
Effets publics > Modèles économétriques.
Taux de rendement > Modèles économétriques.
Cointégration.
BUSINESS & ECONOMICS > Economics > General.
BUSINESS & ECONOMICS > Reference.
Cointegration
Government securities > Econometric models
Rate of return > Econometric models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Contents; I. Introduction; II. Determinants of Sovereign Bond Yields: Review of Existing Studies; A. Theoretical Considerations; B. Empirical Evidence; III. Empirical Methodology and Data; A. Empirical Methodology; B. Data; IV. Estimation Results; A. Baseline Specification; B. Robustness Checks; C. Are Financial Markets "Overreacting"?; V. Conclusions; References; Tables; 1. Description of Variables and their Sources; 2. Descriptive Statistics; 3. Panel Unit Root Tests; 4. Baseline Regressions; 5. Robustness Checks; Figures.
  • 1. Selected Euro area Economies: Real 10-Year Sovereign Bond Yields2. Selected Euro Area Economies: Debt-to-GDP Ratio; 3. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (first half of 2012); 4. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (1999-2009, average).

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