Long-Run Determinants of Sovereign Yields
13 Pages Posted: 17 Aug 2010
Date Written: August 17, 2010
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.
Keywords: long-term yields, panel cointegration, bootstrap
JEL Classification: C23, E43, E62, G10, H62
Suggested Citation: Suggested Citation
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