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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2315

Title: Long-run Determinants of Sovereign Yields
Authors: Afonso, António
Rault, Christophe
Keywords: long-term yields
panel cointegration
bootstrap
Issue Date: 2010
Publisher: ISEG - Departamento de Economia
Citation: Afonso, António e Christophe Rault. 2010. "Long-run Determinants of Sovereign Yields". Instituto Superior de Economia e Gestão - DE Working papers 15-2010/DE/UECE
Series/Report no.: DE Working papers;15-2010/DE/UECE
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.
URI: http://hdl.handle.net/10400.5/2315
ISSN: 0874-4548
Publisher version: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=151501&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2010&_request_checksum_=e05b633715d2f366619b65e2b8af09751ad9c340
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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