LEADER 06230oam 22012974 450 001 9910779591503321 005 20230802005921.0 010 $a1-4755-7979-9 010 $a1-4755-4279-8 010 $a1-283-94768-4 035 $a(CKB)2550000001003733 035 $a(EBL)1607057 035 $a(SSID)ssj0000942147 035 $a(PQKBManifestationID)11543939 035 $a(PQKBTitleCode)TC0000942147 035 $a(PQKBWorkID)10971849 035 $a(PQKB)11704255 035 $a(MiAaPQ)EBC1607057 035 $a(Au-PeEL)EBL1607057 035 $a(CaPaEBR)ebr10644349 035 $a(CaONFJC)MIL426018 035 $a(OCoLC)819351889 035 $a(IMF)WPIEE2012271 035 $a(IMF)WPIEA2012271 035 $a(EXLCZ)992550000001003733 100 $a20020129d2012 uf 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 /$fTigran Poghosyan 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (27 p.) 225 1 $aIMF Working Papers 225 0$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 3 $aWe analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase in potential growth rate. In the short-run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but about half of the deviation adjusts in one year. When considering the impact of the global financial crisis on sovereign borrowing costs in euro area countries, the estimations suggest that spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have benefited from ?safe haven? flows. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/271 606 $aGovernment securities$xEconometric models 606 $aRate of return$xEconometric models 606 $aCointegration 606 $aBanks and Banking$2imf 606 $aInvestments: Bonds$2imf 606 $aMacroeconomics$2imf 606 $aPublic Finance$2imf 606 $a'Panel Data Models$2imf 606 $aSpatio-temporal Models'$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aDebt$2imf 606 $aDebt Management$2imf 606 $aSovereign Debt$2imf 606 $aFiscal Policy$2imf 606 $aInvestment & securities$2imf 606 $aFinance$2imf 606 $aPublic finance & taxation$2imf 606 $aBond yields$2imf 606 $aYield curve$2imf 606 $aSovereign bonds$2imf 606 $aPublic debt$2imf 606 $aFiscal stance$2imf 606 $aFinancial institutions$2imf 606 $aFinancial services$2imf 606 $aFiscal policy$2imf 606 $aBonds$2imf 606 $aInterest rates$2imf 606 $aDebts, Public$2imf 607 $aUnited States$2imf 615 0$aGovernment securities$xEconometric models. 615 0$aRate of return$xEconometric models. 615 0$aCointegration. 615 7$aBanks and Banking 615 7$aInvestments: Bonds 615 7$aMacroeconomics 615 7$aPublic Finance 615 7$a'Panel Data Models 615 7$aSpatio-temporal Models' 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aDebt 615 7$aDebt Management 615 7$aSovereign Debt 615 7$aFiscal Policy 615 7$aInvestment & securities 615 7$aFinance 615 7$aPublic finance & taxation 615 7$aBond yields 615 7$aYield curve 615 7$aSovereign bonds 615 7$aPublic debt 615 7$aFiscal stance 615 7$aFinancial institutions 615 7$aFinancial services 615 7$aFiscal policy 615 7$aBonds 615 7$aInterest rates 615 7$aDebts, Public 700 $aPoghosyan$b Tigran$01476622 712 02$aInternational Monetary Fund.$bFiscal Affairs Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910779591503321 996 $aLong-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies$93804884 997 $aUNINA