03655nam 2200661Ia 450 991045311280332120200520144314.01-4755-7979-91-4755-4279-81-283-94768-4(CKB)2550000001003733(EBL)1607057(SSID)ssj0000942147(PQKBManifestationID)11543939(PQKBTitleCode)TC0000942147(PQKBWorkID)10971849(PQKB)11704255(MiAaPQ)EBC1607057(Au-PeEL)EBL1607057(CaPaEBR)ebr10644349(CaONFJC)MIL426018(OCoLC)819351889(EXLCZ)99255000000100373320130127d2012 uy 0engur|n|---|||||txtccrLong-run and short-run determinants of sovereign bond yields in advanced economies[electronic resource] /Tigran PoghosyanWashington, D.C. International Monetary Fundc20121 online resource (27 p.)IMF working paper ;WP/12/271At head of title: Fiscal Affairs Department -- verso of t.p."November 2012"-- verso of t.p.1-4755-4353-0 1-4755-2914-7 Includes bibliographical references (p. 15-16).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; Figures1. 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)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 iIMF Working PapersGovernment securitiesEconometric modelsRate of returnEconometric modelsCointegrationElectronic books.Government securitiesEconometric models.Rate of returnEconometric models.Cointegration.Poghosyan Tigran873351International Monetary Fund.Fiscal Affairs Dept.MiAaPQMiAaPQMiAaPQBOOK9910453112803321Long-run and short-run determinants of sovereign bond yields in advanced economies2042238UNINA