Long-run Determinants of Sovereign Yields
We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel errorcorrection models. The results show that markets consider budgetary and external imbalances and inflation as relevant determinants of sovereign yields.
|Date of creation:||Sep 2010|
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Web page: https://aquila1.iseg.ulisboa.pt/aquila/departamentos/EC
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