1.

Record Nr.

UNINA9910453112803321

Autore

Poghosyan Tigran

Titolo

Long-run and short-run determinants of sovereign bond yields in advanced economies [[electronic resource] /] / Tigran Poghosyan

Pubbl/distr/stampa

Washington, D.C., : International Monetary Fund, c2012

ISBN

1-4755-7979-9

1-4755-4279-8

1-283-94768-4

Descrizione fisica

1 online resource (27 p.)

Collana

IMF working paper ; ; WP/12/271

Soggetti

Government securities - Econometric models

Rate of return - Econometric models

Cointegration

Electronic books.

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

At head of title: Fiscal Affairs Department -- verso of t.p.

"November 2012"-- verso of t.p.

Nota di bibliografia

Includes bibliographical references (p. 15-16).

Nota di contenuto

Cover; Contents; I. Introduction; II. Determinants of Sovereign Bond Yields: Review of Existing Studies; A. Theoretical Considerations; B. Empirical Evidence; III. Empirical Methodology and Data; A. Empirical Methodology; B. Data; IV. Estimation Results; A. Baseline Specification; B. Robustness Checks; C. Are Financial Markets "Overreacting"?; V. Conclusions; References; Tables; 1. Description of Variables and their Sources; 2. Descriptive Statistics; 3. Panel Unit Root Tests; 4. Baseline Regressions; 5. Robustness Checks; Figures

1. Selected Euro area Economies: Real 10-Year Sovereign Bond Yields2. Selected Euro Area Economies: Debt-to-GDP Ratio; 3. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (first half of 2012); 4. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (1999-2009, average)

Sommario/riassunto

We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows



distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase i