Revisiting the determinants of sovereign bond yield volatility
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/25070 |
Resumo: | Although there is an extensive literature regarding volatility in the financial markets, to our knowledge, few empirical studies specifically focus on the drivers of volatility of sovereign bond yields. This empirical paper aims to fill part of this gap and to provide more up to date empirical insights. We add to previous work by examining the issue simultaneously in a broad number of advanced economies. Our analysis shows that sovereign bond unconditional volatility exhibits mean-reversion and persistence. Bond yield volatility responds to proximate market movements and global risk. However, that response is found to be uneven across geographies, asymmetric in some cases and possibly time-varying. Macro and policy uncertainty impact depends on the specific uncertainty measures used and rarely is very meaningful. |
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Revisiting the determinants of sovereign bond yield volatilityVolatilityBond MarketPublic DebtSovereign RiskPanel DataFixed EffectsAlthough there is an extensive literature regarding volatility in the financial markets, to our knowledge, few empirical studies specifically focus on the drivers of volatility of sovereign bond yields. This empirical paper aims to fill part of this gap and to provide more up to date empirical insights. We add to previous work by examining the issue simultaneously in a broad number of advanced economies. Our analysis shows that sovereign bond unconditional volatility exhibits mean-reversion and persistence. Bond yield volatility responds to proximate market movements and global risk. However, that response is found to be uneven across geographies, asymmetric in some cases and possibly time-varying. Macro and policy uncertainty impact depends on the specific uncertainty measures used and rarely is very meaningful.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaFerreira, Carlos Alberto Piscarreta Pinto2022-08-01T13:14:53Z2022-072022-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25070engFerreira, Carlos Alberto Piscarreta Pinto (2022). "Revisiting the determinants of sovereign bond yield volatility". REM Working paper series, nº 0241/20222184-108Xinfo: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:RCAAP2023-03-06T14:54:41Zoai:www.repository.utl.pt:10400.5/25070Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:01.100642Repositório 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 |
Revisiting the determinants of sovereign bond yield volatility |
title |
Revisiting the determinants of sovereign bond yield volatility |
spellingShingle |
Revisiting the determinants of sovereign bond yield volatility Ferreira, Carlos Alberto Piscarreta Pinto Volatility Bond Market Public Debt Sovereign Risk Panel Data Fixed Effects |
title_short |
Revisiting the determinants of sovereign bond yield volatility |
title_full |
Revisiting the determinants of sovereign bond yield volatility |
title_fullStr |
Revisiting the determinants of sovereign bond yield volatility |
title_full_unstemmed |
Revisiting the determinants of sovereign bond yield volatility |
title_sort |
Revisiting the determinants of sovereign bond yield volatility |
author |
Ferreira, Carlos Alberto Piscarreta Pinto |
author_facet |
Ferreira, Carlos Alberto Piscarreta Pinto |
author_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Ferreira, Carlos Alberto Piscarreta Pinto |
dc.subject.por.fl_str_mv |
Volatility Bond Market Public Debt Sovereign Risk Panel Data Fixed Effects |
topic |
Volatility Bond Market Public Debt Sovereign Risk Panel Data Fixed Effects |
description |
Although there is an extensive literature regarding volatility in the financial markets, to our knowledge, few empirical studies specifically focus on the drivers of volatility of sovereign bond yields. This empirical paper aims to fill part of this gap and to provide more up to date empirical insights. We add to previous work by examining the issue simultaneously in a broad number of advanced economies. Our analysis shows that sovereign bond unconditional volatility exhibits mean-reversion and persistence. Bond yield volatility responds to proximate market movements and global risk. However, that response is found to be uneven across geographies, asymmetric in some cases and possibly time-varying. Macro and policy uncertainty impact depends on the specific uncertainty measures used and rarely is very meaningful. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-08-01T13:14:53Z 2022-07 2022-07-01T00:00:00Z |
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/10400.5/25070 |
url |
http://hdl.handle.net/10400.5/25070 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Ferreira, Carlos Alberto Piscarreta Pinto (2022). "Revisiting the determinants of sovereign bond yield volatility". REM Working paper series, nº 0241/2022 2184-108X |
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 |
ISEG - REM - Research in Economics and Mathematics |
publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
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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1799131184149561344 |