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| Christophe Rault and António Afonso |
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| ''Long-run Determinants of Sovereign Yields'' |
| ( 2011, Vol. 31 No.1 ) |
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| 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. |
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| 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 |
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| Manuscript Received : Nov 12 2010 | | Manuscript Accepted : Jan 19 2011 |
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