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Christophe Rault and António Afonso
''Long-run Determinants of Sovereign Yields''
( 2011, Vol. 31 No.1 )
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.
Keywords: long-term yields, panel cointegration, bootstrap
JEL: E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General
H6 - National Budget, Deficit, and Debt: General
Manuscript Received : Nov 12 2010 Manuscript Accepted : Jan 19 2011

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