Determinants of the Portuguese government bond yields
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/20999 |
Resumo: | This 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. |
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Determinants of the Portuguese government bond yieldsARDL modelCredit riskGlobal risk aversionGovernment bond yieldsLiquidity riskLong-term and short-term determinantsPortugalThis 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.Wiley-Blackwell2022-07-29T00:00:00Z2021-01-01T00:00:00Z20212021-08-04T18:22:24Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/20999eng1076-930710.1002/ijfe.1912Pinho, A.Barradas, R.info: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:RCAAP2023-11-09T17:34:22Zoai:repositorio.iscte-iul.pt:10071/20999Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:15:32.072051Repositório 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 Pinho, A. ARDL model Credit risk Global risk aversion Government bond yields Liquidity risk Long-term and 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 |
Pinho, A. |
author_facet |
Pinho, A. Barradas, R. |
author_role |
author |
author2 |
Barradas, R. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Pinho, A. Barradas, R. |
dc.subject.por.fl_str_mv |
ARDL model Credit risk Global risk aversion Government bond yields Liquidity risk Long-term and short-term determinants Portugal |
topic |
ARDL model Credit risk Global risk aversion Government bond yields Liquidity risk Long-term and short-term determinants Portugal |
description |
This 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. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-01-01T00:00:00Z 2021 2021-08-04T18:22:24Z 2022-07-29T00:00:00Z |
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/10071/20999 |
url |
http://hdl.handle.net/10071/20999 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1076-9307 10.1002/ijfe.1912 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Wiley-Blackwell |
publisher.none.fl_str_mv |
Wiley-Blackwell |
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 instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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 |
repository.mail.fl_str_mv |
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1799134713499090944 |