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

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 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.

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.

An Empirical Analysis of the Relationship between Economic Growth and Energy Utilization in China

2013 ◽  
Vol 734-737 ◽  
pp. 1666-1670
Author(s):  
Fei Hu Yang ◽  
Peng Zhang ◽  
Xiao Wei Wang
Keyword(s):  
Economic Growth ◽  
Empirical Analysis ◽  
Energy Utilization ◽  
Correction Model ◽  
Vector Autoregressive ◽  
Integration Test ◽  
Recycling Economy ◽  
The Relationship ◽  
The Empirical Analysis

Based on the co-integration test, error correction model and vector autoregressive model, the empirical analysis results show a long-term co-integration relationship between economic growth and energy utilization in China, energy consumption increased by 1%, GDP will increase by 1.342%. In order to raise the efficiency of energy utilization during China's economic development, suggestions like saving energy conservation, reducing emission and recycling economy have been proposed.

scholarly journals Consumption Function and the Empirical Analysis of the Relationship between Income and Consumption for Turkey

2014 ◽  
Author(s):  
Utku Altunöz
Keyword(s):  
Empirical Analysis ◽  
Unit Root ◽  
Econometric Analysis ◽  
Consumption Function ◽  
Short Term ◽  
Absolute Income ◽  
The Relationship ◽  
The Empirical Analysis

The relationship between income and consumption is one of the most important subjects of economics that became the subjects of many study. In this study, Absolute Income Theory of Keynes for Turkey is predicted by using the data in period 1987 – 2012 and the method of cointegration. Before the econometric analysis, the function of consumption, consumption theories, studies involving these theories and its critics were examined. After that, variables were examined the unit root situations. Two variables do not take action together and it is seen that they do not affect each other when the long term relations and the short term dynamics are examined.

scholarly journals An Empirical Analysis of the Link between Economic Growth and Exports in Côte d’Ivoire

2019 ◽  
Vol 12 (9) ◽  
pp. 94
Author(s):  
Daouda Coulibaly ◽  
Fulgence Zran Goueu
Keyword(s):  
Economic Growth ◽  
Gross Domestic Product ◽  
Causal Relationship ◽  
Empirical Analysis ◽  
Annual Data ◽  
Short Term ◽  
Causality Test ◽  
Long Run ◽  
The Relationship

This paper aims to analyze the relationship between exports and economic growth in Côte d’Ivoire. In order to achieve this objective, annual data for the period 1960-2017 were tested by using the cointegration approach of Pesaran, Shin and Smith, including the causality test of Breitung and Schreiber. According to our analysis it is only exports that drive economic growth and not the opposite. Exports act positively and significantly on economic growth in the short term as well as in the long term. The causality test of Breitung and schreiber indicates a one-way long-run causal relationship ranging from exports to gross domestic product (GDP). All those results show that exports are a source of Ivorian economic growth.

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
Sign in / Sign up

Export Citation Format

Share Document