Short-and long-run behaviour of long-term sovereign bond yields

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2015
Outros Autores: Rault, Christophe
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/25566
Resumo: We assess the short- and long-run behaviour of long-term sovereign bond yields in OECD countries using a dynamic panel approach to reflect financial and economic integration. Given the existence of cross-country dependence regarding sovereign yields and its determinants, we resort to simulation and bootstrap methods. Results based on the Common Correlated Effect estimator of Pesaran and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that in addition to common movements in sovereign yields, investors also consider country differences arising from specific factors (inflation, budgetary and current account imbalances, real effective exchange rates, and liquidity).
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spelling Short-and long-run behaviour of long-term sovereign bond yieldsLong-Term YieldsEUFinancial IntegrationPanel CointegrationBootstrapWe assess the short- and long-run behaviour of long-term sovereign bond yields in OECD countries using a dynamic panel approach to reflect financial and economic integration. Given the existence of cross-country dependence regarding sovereign yields and its determinants, we resort to simulation and bootstrap methods. Results based on the Common Correlated Effect estimator of Pesaran and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that in addition to common movements in sovereign yields, investors also consider country differences arising from specific factors (inflation, budgetary and current account imbalances, real effective exchange rates, and liquidity).Taylor & Francis GroupRepositório da Universidade de LisboaAfonso, AntónioRault, Christophe2022-09-21T14:06:01Z20152015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25566engAfonso, António and Christophe Rault. (2015). "Short-and long-run behaviour of long-term sovereign bond yields." Applied Economics, Vol. 47, No. 37: pp. 3971-3993.1466-4283 (Online)10.1080/00036846.2015.1023940info: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:RCAAP2023-03-06T14:55:07Zoai:www.repository.utl.pt:10400.5/25566Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:24.407604Repositório 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 Short-and long-run behaviour of long-term sovereign bond yields
title Short-and long-run behaviour of long-term sovereign bond yields
spellingShingle Short-and long-run behaviour of long-term sovereign bond yields
Afonso, António
Long-Term Yields
EU
Financial Integration
Panel Cointegration
Bootstrap
title_short Short-and long-run behaviour of long-term sovereign bond yields
title_full Short-and long-run behaviour of long-term sovereign bond yields
title_fullStr Short-and long-run behaviour of long-term sovereign bond yields
title_full_unstemmed Short-and long-run behaviour of long-term sovereign bond yields
title_sort Short-and long-run behaviour of long-term sovereign bond yields
author Afonso, António
author_facet Afonso, António
Rault, Christophe
author_role author
author2 Rault, Christophe
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Rault, Christophe
dc.subject.por.fl_str_mv Long-Term Yields
EU
Financial Integration
Panel Cointegration
Bootstrap
topic Long-Term Yields
EU
Financial Integration
Panel Cointegration
Bootstrap
description We assess the short- and long-run behaviour of long-term sovereign bond yields in OECD countries using a dynamic panel approach to reflect financial and economic integration. Given the existence of cross-country dependence regarding sovereign yields and its determinants, we resort to simulation and bootstrap methods. Results based on the Common Correlated Effect estimator of Pesaran and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that in addition to common movements in sovereign yields, investors also consider country differences arising from specific factors (inflation, budgetary and current account imbalances, real effective exchange rates, and liquidity).
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01T00:00:00Z
2022-09-21T14:06:01Z
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/10400.5/25566
url http://hdl.handle.net/10400.5/25566
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António and Christophe Rault. (2015). "Short-and long-run behaviour of long-term sovereign bond yields." Applied Economics, Vol. 47, No. 37: pp. 3971-3993.
1466-4283 (Online)
10.1080/00036846.2015.1023940
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 Taylor & Francis Group
publisher.none.fl_str_mv Taylor & Francis Group
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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