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Long-run and short-run determinants of sovereign bond yields in advanced economies

Poghosyan, Tigran. ;International Monetary Fund. Fiscal Affairs Dept.

Washington, D.C. : International Monetary Fund c2012

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  • Title:
    Long-run and short-run determinants of sovereign bond yields in advanced economies
  • Author/Creator: Poghosyan, Tigran.
  • International Monetary Fund. Fiscal Affairs Dept.
  • Publisher: Washington, D.C. : International Monetary Fund
  • Creation Date: c2012
  • Language: English
  • Physical Description: 1 online resource (27 p.).
  • Bibliography: Includes bibliographical references (p. 15-16).
  • Subjects: Government securities -- Econometric models; Rate of return -- Econometric models; Cointegration
  • Description: We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase i
  • Notes: Includes bibliographical references (p. 15-16).
  • Contents: Cover; Contents; I. Introduction; II. Determinants of Sovereign Bond Yields: Review of Existing Studies; A. Theoretical Considerations; B. Empirical Evidence; III. Empirical Methodology and Data; A. Empirical Methodology; B. Data; IV. Estimation Results; A. Baseline Specification; B. Robustness Checks; C. Are Financial Markets "Overreacting"?; V. Conclusions; References; Tables; 1. Description of Variables and their Sources; 2. Descriptive Statistics; 3. Panel Unit Root Tests; 4. Baseline Regressions; 5. Robustness Checks; Figures
    1. Selected Euro area Economies: Real 10-Year Sovereign Bond Yields2. Selected Euro Area Economies: Debt-to-GDP Ratio; 3. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (first half of 2012); 4. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (1999-2009, average)
  • Identifier: ISBN1-4755-7979-9;ISBN1-4755-4279-8;ISBN1-283-94768-4