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

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

"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...

Full description

Saved in:
Bibliographic Details
Main Author: Poghosyan, Tigran (Author)
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, ©2012.
Series:IMF working paper ; WP/12/271.
Subjects:
Government securities > Econometric models.
Rate of return > Econometric models.
Cointegration.
BUSINESS & ECONOMICS > Economics > General.
BUSINESS & ECONOMICS > Reference.
Cointegration
Government securities > Econometric models
Rate of return > Econometric models
Online Access:Click for online access
Table of Contents:
  • 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).

Similar Items