Determinants of the portuguese government bond yields

Detalhes bibliográficos
Autor(a) principal: Barradas, Ricardo
Data de Publicação: 2018
Outros Autores: Pinto, 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/10400.21/9006
Resumo: Working paper com arbitragem científica
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spelling Determinants of the portuguese government bond yieldsGovernment bond yieldsLong-term and short-term determinantsCredit riskGlobal risk aversionLiquidity riskPortugalARDL modelWorking paper com arbitragem científicaThis paper conducts an empirical examination of the determinants of the ten-, five- and one-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 ten-, five- and one-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, the inflation rate and foreign borrowing 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, demographic situation and labour productivity.DINÂMIA'CET - IULRCIPLBarradas, RicardoPinto, André2018-11-07T10:29:27Z2018-032018-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/9006eng10.15847/dinamiacet-iul.wp.2018.03info: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:RCAAP2023-08-03T09:57:10Zoai:repositorio.ipl.pt:10400.21/9006Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:17:40.144749Repositório 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
Government bond yields
Long-term and short-term determinants
Credit risk
Global risk aversion
Liquidity risk
Portugal
ARDL model
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
Pinto, André
author_role author
author2 Pinto, André
author2_role author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Barradas, Ricardo
Pinto, André
dc.subject.por.fl_str_mv Government bond yields
Long-term and short-term determinants
Credit risk
Global risk aversion
Liquidity risk
Portugal
ARDL model
topic Government bond yields
Long-term and short-term determinants
Credit risk
Global risk aversion
Liquidity risk
Portugal
ARDL model
description Working paper com arbitragem científica
publishDate 2018
dc.date.none.fl_str_mv 2018-11-07T10:29:27Z
2018-03
2018-03-01T00:00:00Z
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/10400.21/9006
url http://hdl.handle.net/10400.21/9006
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.15847/dinamiacet-iul.wp.2018.03
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 DINÂMIA'CET - IUL
publisher.none.fl_str_mv DINÂMIA'CET - IUL
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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