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100   $a20130127d2012      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aLong-run and short-run determinants of sovereign bond yields in advanced economies$b[electronic resource] /$fTigran Poghosyan
210   $aWashington, D.C. $cInternational Monetary Fund$dc2012
215   $a1 online resource (27 p.)
225  0$aIMF working paper ;$vWP/12/271
300   $aAt head of title: Fiscal Affairs Department -- verso of t.p.
300   $a"November 2012"-- verso of t.p.
311   $a1-4755-4353-0 
311   $a1-4755-2914-7 
320   $aIncludes bibliographical references (p. 15-16).
327   $aCover; 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
327   $a1. 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-a?-vis Germany (first half of 2012); 4. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-a?-vis Germany (1999-2009, average)
330   $aWe analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase i
410  0$aIMF Working Papers
606   $aGovernment securities$xEconometric models
606   $aRate of return$xEconometric models
606   $aCointegration
608   $aElectronic books.
615  0$aGovernment securities$xEconometric models.
615  0$aRate of return$xEconometric models.
615  0$aCointegration.
700   $aPoghosyan$b Tigran$0873351
712 02$aInternational Monetary Fund.$bFiscal Affairs Dept.
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910453112803321
996   $aLong-run and short-run determinants of sovereign bond yields in advanced economies$92042238
997   $aUNINA