Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Fiscal Affairs Department, issuing body.
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| ISBN: | 9781475542790
1475542798
1475543530
9781475543537
9781475529142
9781475543537
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| Digital file characteristics: | data file
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| Notes: | 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.
Includes bibliographical references (pages 15-16).
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| 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.
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| Other form: | Print Version: 9781475543537
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| Standard no.: | 10.5089/9781475543537.001
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