Working Paper
Long-run Determinants of Sovereign Yields
António Afonso, Christophe Rault
CESifo, Munich, 2010
CESifo Working Paper No. 3155
CESifo, Munich, 2010
CESifo Working Paper No. 3155
![](https://cesifo.org/DocImg/cesifo1_wp3155.jpg?c=1689237152)
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
Fiscal Policy, Macroeconomics and Growth
Keywords: long-term yields, panel cointegration, bootstrap
JEL Classification: C230,E430,E620,G100,H620