Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10400.5/2835
Título: | Short and long-run behaviour of long-term sovereign bond yields |
Autor: | Afonso, António Rault, Christophe |
Palavras-chave: | Long-term yields Panel cointegration Bootstrap Financial integration |
Data: | 2010 |
Editora: | ISEG - Departamento de Economia |
Citação: | Afonso, António e Christopher Rault. 2010. "Short and long-run behaviour of long-term sovereign bond yields". Instituto Superior de Economia e Gestão. DE Working papers ; nº19-2010/DE/UECE. |
Relatório da Série N.º: | DE Working papers;nº 19-2010/DE/UECE |
Resumo: | This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of cross-country dependence regarding sovereign yields and its determinants, we resort to simulation and bootstrap methods for the analysis. Results based on the Common Correlated Effect estimator of Pesaran (2006) and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that in addition to common movements in sovereign yields, investors also consider country differences arising from specific factors (inflation, budgetary and current account imbalances, real effective exchange rates, and liquidity). |
URI: | http://hdl.handle.net/10400.5/2835 |
ISSN: | 0874-4548 |
Aparece nas colecções: | UECE - Documentos de Trabalho / UECE - Working Papers DE - Documentos de trabalho / Working Papers |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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DEWP19.pdf | 539,33 kB | Adobe PDF | Ver/Abrir |
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