Determinants of the Portuguese government bond yields

Detalhes bibliográficos
Autor(a) principal: Barradas, Ricardo
Data de Publicação: 2020
Outros Autores: Pinho, André
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.21/12139
Resumo: Artigo publicado em revista científica internacional
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spelling Determinants of the Portuguese government bond yieldsARDL modelCredit riskGlobal risk aversionGovernment bond yieldsLiquidity riskLong-termand short-term determinantsPortugalArtigo publicado em revista científica internacionalThis paper conducts an empirical examination of the determinants of the 10‐, 5‐ and 1‐year Portuguese government bond yields by performing a time series econometric analysis for the period between the first quarter of 2000 and the last quarter of 2016. The literature suggests that the evolution of government bond yields depends on three main risk drivers, namely credit risk, global risk aversion and liquidity risk. We estimate three equations for the 10‐, 5‐ and 1‐year Portuguese government bond yields, including eight independent variables (macroeconomic performance, fiscal conditions, foreign borrowing, the inflation rate, labour productivity, the demographic situation, global risk aversion and liquidity risk) to take into account all three risk drivers referred to in the literature. Our results show that there are no significant differences in the determinants of the Portuguese government bond yields among the different maturities, either in the long term or in the short term. Our results also confirm that all three of the risk drivers have exerted a strong influence on the evolution of the Portuguese government bond yields. Liquidity risk, foreign borrowing and the inflation rate are the main triggers of the rise in the Portuguese government bond yields, which does not counterweigh the beneficial effects played by the fiscal conditions, labour productivity and demographic situation.John Wiley & Sons LtdRCIPLBarradas, RicardoPinho, André2020-08-02T08:06:48Z2020-072020-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/12139eng1099-1158DOI: 10.1002/ijfe.191 2metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-03T10:04:30Zoai:repositorio.ipl.pt:10400.21/12139Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:20:17.393838Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Determinants of the Portuguese government bond yields
title Determinants of the Portuguese government bond yields
spellingShingle Determinants of the Portuguese government bond yields
Barradas, Ricardo
ARDL model
Credit risk
Global risk aversion
Government bond yields
Liquidity risk
Long-termand short-term determinants
Portugal
title_short Determinants of the Portuguese government bond yields
title_full Determinants of the Portuguese government bond yields
title_fullStr Determinants of the Portuguese government bond yields
title_full_unstemmed Determinants of the Portuguese government bond yields
title_sort Determinants of the Portuguese government bond yields
author Barradas, Ricardo
author_facet Barradas, Ricardo
Pinho, André
author_role author
author2 Pinho, André
author2_role author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Barradas, Ricardo
Pinho, André
dc.subject.por.fl_str_mv ARDL model
Credit risk
Global risk aversion
Government bond yields
Liquidity risk
Long-termand short-term determinants
Portugal
topic ARDL model
Credit risk
Global risk aversion
Government bond yields
Liquidity risk
Long-termand short-term determinants
Portugal
description Artigo publicado em revista científica internacional
publishDate 2020
dc.date.none.fl_str_mv 2020-08-02T08:06:48Z
2020-07
2020-07-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/12139
url http://hdl.handle.net/10400.21/12139
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1099-1158
DOI: 10.1002/ijfe.191 2
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv John Wiley & Sons Ltd
publisher.none.fl_str_mv John Wiley & Sons Ltd
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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