THE DYNAMICS OF GOVERNMENT BOND YIELDS IN THE EURO ZONE-Reference-Cited by-同舟云学术

THE DYNAMICS OF GOVERNMENT BOND YIELDS IN THE EURO ZONE

Published:2017-09 Issue:03 Volume:12 Page:1750011
ISSN:2010-4952
Container-title:Annals of Financial Economics
language:en
Short-container-title:Ann. Finan. Econ.

Author:

AKRAM TANWEER¹,DAS ANUPAM²

Affiliation:

1. Thrivent Financial, USA

2. Department of Economics, Justice, and Policy Studies, Mount Royal University, Alberta, Canada

Abstract

This paper investigates the determinants of nominal yields of government bonds in the euro zone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11 euro zone countries. Furthermore, the autoregressive distributive lag (ARDL) methods are used to address the same question for individual countries. The results show that short-term interest rates are the most important determinants of long-term government bonds’ nominal yields. These results support Keynes’s view that short-term interest rates and other monetary policy measures have a decisive influence on long-term interest rates on government bonds.

Publisher

World Scientific Pub Co Pte Lt

Subject

Economics and Econometrics,Finance,Business and International Management

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2010495217500117

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