scholarly journals Short and Long-Run Behaviour of Long-Term Sovereign Bond Yields

2010 ◽  
Author(s):  
António Afonso ◽  
Christophe Rault
Keyword(s):  
Bond Yields ◽  
Sovereign Bond ◽  
Long Run

scholarly journals Short- and long-run behaviour of long-term sovereign bond yields

2015 ◽  
Vol 47 (37) ◽  
pp. 3971-3993 ◽  
Author(s):  
António Afonso ◽  
Christophe Rault
Keyword(s):  
Bond Yields ◽  
Sovereign Bond ◽  
Long Run

scholarly journals The Long-Run Determinants of Indian Government Bond Yields

2019 ◽  
Vol 36 (1) ◽  
pp. 168-205 ◽  
Author(s):  
Tanweer Akram ◽  
Anupam Das
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Indian Government ◽  
Bond Yield ◽  
Long Run ◽  
Key Driver ◽  
The Government

This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes’ supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.

scholarly journals Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K., and Sweden

2006 ◽  
pp. 1.000-51.000 ◽  
Author(s):  
Refet S. Gürkaynak ◽  
◽  
Andrew T. Levin ◽  
Eric T. Swanson ◽  
◽  
...  
Keyword(s):  
Inflation Targeting ◽  
Inflation Expectations ◽  
Bond Yields ◽  
Long Run ◽  
The U.S

Drivers of Sovereign Bond Yields in India

2021 ◽  
Keyword(s):  
Crude Oil Price ◽  
Bond Yields ◽  
Economic Stability ◽  
Short Term ◽  
Monthly Data ◽  
Financial Variables ◽  
Sovereign Bond ◽  
Bond Yield ◽  
Long Run ◽  
Market Fundamentals

This study analyzed the behavior of the ten-year nominal sovereign bond yield in India with respect to a host of factors, especially for a decade when economic growth alters considerably with time. The vector autoregression methodology (VAR) was applied to the monthly data of economic and financial variables from January 2012 to March 2020. The findings suggested that long-run sovereign bond yield behavior was primarily driven by domestic fundamentals, including money market fundamentals. A rise in the 91-day treasury bill lagged the value of the bond yield, and inflation exert significant upward pressure on the ten year domestic sovereign bond yields. International factors such as exchange rate and crude oil price exert significant but mild influence. Another finding was affirmed that short-term domestic bond yield movements significantly determined long-run domestic bond yields. From an overall policy perspective, it becomes important to maintain domestic economic stability to manage fiscal and debt sustainability.

scholarly journals Bond Yields, Sovereign Risk and Maturity Structure

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 109
Author(s):  
Marcos González-Fernández ◽  
Carmen González-Velasco
Keyword(s):  
Sovereign Debt ◽  
Inverse Relationship ◽  
Economic And Monetary Union ◽  
Sovereign Risk ◽  
Bond Yields ◽  
Sovereign Bond ◽  
Time Variance ◽  
Maturity Structure ◽  
The Relationship

The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and the maturity structure of sovereign debt, regardless of the proxy that is used to measure sovereign risk and the time variance of the variables employed. The results indicate that risk shortens the maturity structure of sovereign debt because it reduces the stock of long-term debt. The relationship between maturity structure and sovereign bond yields differs depending on the risk of the countries analyzed (non-monotonic relationship) and the differences between peripheral and core countries are greater for higher levels of the yields. If we control for the indebtedness level of these countries, the results show that the relationship between the sovereign bond yields and maturity strengthens as the debt level increases.

scholarly journals Ambiguity, Nominal Bond Yields, and Real Bond Yields

2020 ◽  
Vol 2 (2) ◽  
pp. 177-192 ◽  
Author(s):  
Guihai Zhao
Keyword(s):  
Risk Premium ◽  
Bond Yields ◽  
Case Scenario ◽  
Worst Case ◽  
Inflation Risk ◽  
Expectations Hypothesis ◽  
Long Run ◽  
Short Run ◽  
The Difference

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothesis. Instead of relying on the inflation risk premium, the ambiguity-averse agent faces different amounts of Knightian uncertainty in the long run versus the short run; hence, the model-implied nominal and real short rate expectations are upward sloping under the agent’s worst-case equilibrium beliefs. The expectations hypothesis roughly holds under investors’ worst-case beliefs. The difference between the worst-case scenario and the true distribution makes realized excess returns on long-term bonds predictable. (JEL D81, D84, E23, E31, E43, E44, G12)

scholarly journals Is there a Long-Term Relationship among European Sovereign Bond Yields?

2017 ◽  
Vol 7 (1) ◽  
pp. 68
Author(s):  
Ian Schaeffer ◽  
Miguel D. Ramirez
Keyword(s):  
Monetary Policy ◽  
Fixed Effects ◽  
Bond Markets ◽  
Bond Yields ◽  
Economic Shocks ◽  
Sovereign Bond ◽  
Cointegration Tests ◽  
Bond Portfolios ◽  
Financial Research

The integration of financial markets has been a recurring theme in academic and financial research. The majority of the literature has focused on equity markets. Literature on the integration of international bond markets is not as common, specifically regarding that of European bonds since the beginning of the common currency area in 1999.This paper estimates a fixed effects pooled model and then proceeds to undertake panel unit root and cointegration tests to determine the degree of co-movement of European sovereign bond yields. The reported estimates suggest that yields move together over time, thus the benefits of diversification in European government bond portfolios may be limited. The results also have important implications for monetary policy. Given that economic shocks (e.g. inflationary shocks) are transmitted quickly from country to country, then it will complicate the task of monetary policy when it comes to pursuing an independent policy with respect to domestic monetary conditions in the presence of asymmetric economic shocks.

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