Working Paper

Long-run Determinants of Sovereign Yields

António Afonso, Christophe Rault
CESifo, Munich, 2010

CESifo Working Paper No. 3155

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant determinants of sovereign yields.

CESifo Category
Fiscal Policy, Macroeconomics and Growth
Keywords: long-term yields, panel cointegration, bootstrap
JEL Classification: C230,E430,E620,G100,H620