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 error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant determinants...
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| Format: | workingPaper |
| Language: | eng |
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2010
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| Online Access: | http://hdl.handle.net/10400.5/2315 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/2315 |