| Description |
1 online resource : color illustrations. |
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data file |
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Bibliography |
| Series |
IMF working paper ; WP/12/271
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IMF working paper ; WP/12/271.
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| Note |
Title from PDF title page (IMF Web site, viewed Nov. 26, 2012). |
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"Fiscal Affairs Department"--Page 2 of pdf. |
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"November 2012"--Page 2 of pdf. |
| Summary |
"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. |
| Bibliography |
Includes bibliographical references (pages 15-16). |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Government securities -- Econometric models.
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Government securities -- Econometric models. |
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Government securities. |
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Rate of return -- Econometric models.
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Rate of return -- Econometric models. |
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Rate of return. |
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Cointegration.
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Cointegration. |
| Genre/Form |
Electronic books.
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| Added Author |
International Monetary Fund. Fiscal Affairs Department, issuing body.
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| ISBN |
9781475542790 (electronic book) |
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1475542798 (electronic book) |
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9781475529142 |
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