Long-run and short-run determinants of sovereign bond yields in advanced economies:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.]
International Monetary Fund
2012
|
| Schriftenreihe: | IMF working paper
WP/12/271 |
| Schlagworte: | |
| Online-Zugang: | FLA01 |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Nov. 26, 2012). - "Fiscal Affairs Department"--Page 2 of pdf. - "November 2012"--Page 2 of pdf |
| Beschreibung: | 1 online resource color illustrations |
| ISBN: | 9781475542790 1475542798 1475543530 9781475543537 |
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| 500 | |a Title from PDF title page (IMF Web site, viewed Nov. 26, 2012). - "Fiscal Affairs Department"--Page 2 of pdf. - "November 2012"--Page 2 of pdf | ||
| 505 | 8 | |a "We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase in potential growth rate. In the short-run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but about half of the deviation adjusts in one year. When considering the impact of the global financial crisis on sovereign borrowing costs in euro area countries, the estimations suggest that spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have benefited from 'safe haven' flows"--Abstract | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Economics / General |2 bisacsh | |
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| 650 | 7 | |a Government securities / Econometric models |2 fast | |
| 650 | 7 | |a Rate of return / Econometric models |2 fast | |
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Datensatz im Suchindex
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| author | Poghosyan, Tigran |
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| contents | "We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase in potential growth rate. In the short-run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but about half of the deviation adjusts in one year. When considering the impact of the global financial crisis on sovereign borrowing costs in euro area countries, the estimations suggest that spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have benefited from 'safe haven' flows"--Abstract |
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| dewey-full | 330.9 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.9 L4363 |
| dewey-search | 330.9 L4363 |
| dewey-sort | 3330.9 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV045356421 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T08:15:51Z |
| institution | BVB |
| isbn | 9781475542790 1475542798 1475543530 9781475543537 |
| language | English |
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| publishDate | 2012 |
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| publisher | International Monetary Fund |
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| spelling | Poghosyan, Tigran Verfasser aut Long-run and short-run determinants of sovereign bond yields in advanced economies Tigran Poghosyan [Washington, D.C.] International Monetary Fund 2012 1 online resource color illustrations txt rdacontent c rdamedia cr rdacarrier IMF working paper WP/12/271 Title from PDF title page (IMF Web site, viewed Nov. 26, 2012). - "Fiscal Affairs Department"--Page 2 of pdf. - "November 2012"--Page 2 of pdf "We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase in potential growth rate. In the short-run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but about half of the deviation adjusts in one year. When considering the impact of the global financial crisis on sovereign borrowing costs in euro area countries, the estimations suggest that spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have benefited from 'safe haven' flows"--Abstract BUSINESS & ECONOMICS / Economics / General bisacsh BUSINESS & ECONOMICS / Reference bisacsh Cointegration fast Government securities / Econometric models fast Rate of return / Econometric models fast Government securities Econometric models Rate of return Econometric models Cointegration International Monetary Fund Sonstige oth Print Version 9781475543537 |
| spellingShingle | Poghosyan, Tigran Long-run and short-run determinants of sovereign bond yields in advanced economies "We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase in potential growth rate. In the short-run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but about half of the deviation adjusts in one year. When considering the impact of the global financial crisis on sovereign borrowing costs in euro area countries, the estimations suggest that spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have benefited from 'safe haven' flows"--Abstract BUSINESS & ECONOMICS / Economics / General bisacsh BUSINESS & ECONOMICS / Reference bisacsh Cointegration fast Government securities / Econometric models fast Rate of return / Econometric models fast Government securities Econometric models Rate of return Econometric models Cointegration |
| title | Long-run and short-run determinants of sovereign bond yields in advanced economies |
| title_auth | Long-run and short-run determinants of sovereign bond yields in advanced economies |
| title_exact_search | Long-run and short-run determinants of sovereign bond yields in advanced economies |
| title_full | Long-run and short-run determinants of sovereign bond yields in advanced economies Tigran Poghosyan |
| title_fullStr | Long-run and short-run determinants of sovereign bond yields in advanced economies Tigran Poghosyan |
| title_full_unstemmed | Long-run and short-run determinants of sovereign bond yields in advanced economies Tigran Poghosyan |
| title_short | Long-run and short-run determinants of sovereign bond yields in advanced economies |
| title_sort | long run and short run determinants of sovereign bond yields in advanced economies |
| topic | BUSINESS & ECONOMICS / Economics / General bisacsh BUSINESS & ECONOMICS / Reference bisacsh Cointegration fast Government securities / Econometric models fast Rate of return / Econometric models fast Government securities Econometric models Rate of return Econometric models Cointegration |
| topic_facet | BUSINESS & ECONOMICS / Economics / General BUSINESS & ECONOMICS / Reference Cointegration Government securities / Econometric models Rate of return / Econometric models Government securities Econometric models Rate of return Econometric models Cointegration |
| work_keys_str_mv | AT poghosyantigran longrunandshortrundeterminantsofsovereignbondyieldsinadvancedeconomies AT internationalmonetaryfund longrunandshortrundeterminantsofsovereignbondyieldsinadvancedeconomies |