Short and long-run behaviour of long-term sovereign bond yields

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of cro...

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Bibliographic Details
Main Author: Afonso, António (author)
Other Authors: Rault, Christophe (author)
Format: workingPaper
Language:eng
Published: 2011
Subjects:
Long-Term Yields
Panel Cointegration
Bootstrap
Financial Integration
Online Access:http://hdl.handle.net/10400.5/2835
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/2835

Internet

http://hdl.handle.net/10400.5/2835

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