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

• Autore: Poghosyan Tigran
• Pubblicazione: Washington, D.C., : International Monetary Fund, c2012
• Descrizione fisica: 1 online resource (27 p.)
• Soggetto topico: Government securities - Econometric models; Rate of return - Econometric models; Cointegration
• Soggetto genere / forma: Electronic books.
• 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
• Titolo autorizzato: Long-run and short-run determinants of sovereign bond yields in advanced economies
• ISBN: 1-4755-7979-9; 1-4755-4279-8; 1-283-94768-4
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910453112803321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers