Sep 21, 2011

Articles in journals

Afonso, A., Rault, C.

31

7

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.

long-term yields,panel cointegration,bootstrap,