Macroeconomic determinants of Long-term Sovereign bond yields in South Africa

2020 ◽  
Author(s):  
Sheunesu Zhou
Keyword(s):  
South Africa ◽  
Bond Yields ◽  
Sovereign Bond ◽  
Macroeconomic Determinants

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 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.

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

Geopolitical uncertainty and sovereign bond yields of BRICS economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sowmya Subramaniam
Keyword(s):  
Yield Curve ◽  
Central Banks ◽  
Bond Yields ◽  
Short Term ◽  
Content Type ◽  
Sovereign Bond ◽  
The Impact ◽  
The Relationship ◽  
Low Rate

Purpose The politically unstable economies have high and volatile sovereign spread. The purpose of this paper is to investigate the impact of geopolitical uncertainty on sovereign bond yields. Design/methodology/approach The sovereign yields at various maturities were decomposed into three factors, namely, level, slope and curvature, using the Dynamic Nelson Siegel model. The relationship between geopolitical uncertainty and the yield curve factors was examined using a quantile causality test. Findings The study found that at the extreme high-rate regime, geopolitical uncertainty causes the yield curve factors positively, indicating bond investors demand a higher return for geopolitical uncertainty. On the other hand, during extreme low-rate regime geopolitical causes the short- and medium-term factors negatively. The extreme low-rate regime indicates the period of economic slowdown. During this regime, the central banks try to reduce the short-term rates to stimulate growth. Originality/value This is one of the few papers that investigates the relationship between the geopolitical risk and sovereign bond yields at the various maturities and interest rate regimes. Understanding the relationship between the geopolitical risk and short-term rates would help the central banks the efficacy of their policy actions. The long-term rates are influenced by the global investor preferences; examining the relationship with the long-term rates would help the investors frame the trading strategies.

scholarly journals An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields

2014 ◽  
Vol 32 (74) ◽  
pp. 68-86 ◽  
Author(s):  
Alexander Guarín ◽  
José Fernando Moreno ◽  
Hernando Vargas
Keyword(s):  
Empirical Analysis ◽  
Bond Yields ◽  
Sovereign Bond ◽  
The Relationship

scholarly journals How long can austerity persist? The factors that sustain fiscal consolidations

2013 ◽  
Vol 2 (1) ◽  
pp. 5 ◽  
Author(s):  
David Lodge ◽  
Marta Rodriguez-Vives
Keyword(s):  
Public Debt ◽  
Bond Yields ◽  
Hazard Functions ◽  
Macroeconomic Conditions ◽  
Sovereign Bond ◽  
Fiscal Adjustment ◽  
Financial Conditions ◽  
Advanced Economies ◽  
Political Cycle

To put public debt on a sustainable path, many governments face the task of enacting large fiscal consolidation followed by years of sustained primary surpluses. By estimating hazard functions for the duration of consolidations, we analyse the features of past consolidation efforts across a panel of advanced economies. Our contribution is to identify the factors that help to start and sustain consolidations, separately discussing governments’ “commitment” to the cause as well as their “capacity” for action. Our analysis suggests that longer consolidations are initiated when public debt is high, fiscal deficits are large, the interest burden heavy and long-term sovereign bond yields elevated. However, we also find that a countries’ “capacity” to change course is important. Higher initial private sector savings, a stronger external balance, a competitive position and stable financial conditions appear to provide more scope for governments to sustain longer-lasting consolidations. Once we have controlled for the initial macroeconomic conditions, there is a lesser role for governments’ commitment as reflected in factors such as the composition and the pace of the fiscal adjustment or the political cycle in explaining the duration of consolidation. However, commitment to permanent, rather than temporary, fiscal adjustment is key.

scholarly journals An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields

2014 ◽  
Author(s):  
Alexander Guarín-López ◽  
José Fernando Moreno ◽  
Hernando Vargas-Herrera
Keyword(s):  
Empirical Analysis ◽  
Bond Yields ◽  
Sovereign Bond ◽  
The Relationship
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