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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2835

Title: Short and long-run behaviour of long-term sovereign bond yields
Authors: Afonso, António
Rault, Christophe
Keywords: Long-term yields
Panel cointegration
Bootstrap
Financial integration
Issue Date: 2010
Publisher: ISEG - Departamento de Economia
Citation: 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.
Series/Report no.: DE Working papers;nº 19-2010/DE/UECE
Abstract: 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
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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