Long-run Determinants of Sovereign Yields
JOURNAL
YEAR
Sep 21, 2011
TYPE
Articles in journals
AUTHORS
Afonso, A., Rault, C.
VOL Nº
31
PAGES
7
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.
JEL CLASS
KEYWORDS
long-term yields,panel cointegration,bootstrap,