Suchergebnisse

This study aims to analyze the influence of determinant factors: (i) exchange rates, (ii) inflation, (iii) CDS spreads, (iv) bid-ask spreads, (v) overnight rate, (vi) CB's rate (Central Bank Rate), and (vii) oil prices on Government bond yields. The data used are monthly data in the period 2012 - 2018. The research method used is the Vector Auto Regression (VAR) approach. Our analysis indicated that the determinant factors have impact on government bond yields. Based on the analysis of the impulse response function (IRF), the yield is to respond to any shocks given by the long term. While through forecast error variance decomposition (FEVD) analysis, found that CDS spreads and oil prices contributed significantly to the movement of Government bond yields.

This paper relates Keynes's discussions of money, the state theory of money, financial markets, investors' expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Investors' psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank's monetary policy actions on the long-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields substantiate the Keynesian perspective that the long-term interest rate responds markedly to the short-term interest rate. These empirical studies not only vindicate the Keynesian perspective but also have relevance for macroeconomic theory and policy.

An important factor that becomes a consideration for investors in purchasing bonds as an investment instrument is the bond yield. Bond yields are used to calculate how much income the investors will get in a certain period of time. The yield movement can be influenced by various factors. This study aims to analyze the effect of bond prices, BI rate, inflation, and exchange rates on medium-term (10 years) and long term (30 years) Indonesian government bond yields. Data used in this research were monthly time series data from January 2015 to December 2019. The time-series data were analyzed by VAR/VECM. The results of the study found that bond price had a significant negative effect on medium term and long term government bond yields. The interest rate had a significant positive effect on long term government bond yields and the exchange rate had a significant positive effect on medium term government bond yields. Inflation had no significant effect on medium and long term government bonds yields. The exchange rate made the greatest contribution to medium term government bond yield changes while long term government bond made the greatest contribution to bond prices. Keywords: BI rate, bond prices, exchange rates, inflation, bond yields

This paper conducts an empirical examination of the determinants of the ten-, five- and one-year Portuguese government bond yields by performing a time series econometric analysis for the period between the first quarter of 2000 and the last quarter of 2016. The literature suggests that the evolution of government bond yields depends on three main risk drivers, namely credit risk, global risk aversion and liquidity risk. We estimate three equations for the ten-, five- and one-year Portuguese government bond yields, including eight independent variables (macroeconomic performance, fiscal conditions, foreign borrowing, the inflation rate, labour productivity, the demographic situation, global risk aversion and liquidity risk) to take into account all three risk drivers referred to in the literature. Our results show that there are no significant differences in the determinants of the Portuguese government bond yields among the different maturities, either in the long term or in the short term. Our results also confirm that all three of the risk drivers have exerted a strong influence on the evolution of the Portuguese government bond yields. Liquidity risk, the inflation rate and foreign borrowing are the main triggers of the rise in the Portuguese government bond yields, which does not counterweigh the beneficial effects played by the fiscal conditions, demographic situation and labour productivity. ; FCT

Working paper com arbitragem científica ; This paper conducts an empirical examination of the determinants of the ten-, five- and one-year Portuguese government bond yields by performing a time series econometric analysis for the period between the first quarter of 2000 and the last quarter of 2016. The literature suggests that the evolution of government bond yields depends on three main risk drivers, namely credit risk, global risk aversion and liquidity risk. We estimate three equations for the ten-, five- and one-year Portuguese government bond yields, including eight independent variables (macroeconomic performance, fiscal conditions, foreign borrowing, the inflation rate, labour productivity, the demographic situation, global risk aversion and liquidity risk) to take into account all three risk drivers referred to in the literature. Our results show that there are no significant differences in the determinants of the Portuguese government bond yields among the different maturities, either in the long term or in the short term. Our results also confirm that all three of the risk drivers have exerted a strong influence on the evolution of the Portuguese government bond yields. Liquidity risk, the inflation rate and foreign borrowing are the main triggers of the rise in the Portuguese government bond yields, which does not counterweigh the beneficial effects played by the fiscal conditions, demographic situation and labour productivity. ; info:eu-repo/semantics/publishedVersion

This paper makes an empirical analysis of the evolution of Portuguese government bonds yields in order to identify their main determinants for the period between 2000 and 2016 using quarterly data. An equation of the Portuguese government bonds yields is estimated considering three different maturities (one, five and ten years) and including eight independent variables (GDP, public debt, external debt, labour productivity, activity rate, inflation rate, stock market volatility and liquidity) to capture the global effects of credit risk, global risk aversion and the liquidity risk. Our main findings were that GDP growth rate, external debt, inflation rate and liquidity exert a positive effect on the ten year maturity sovereign bond yields while public debt, labour productivity, activity rate and the stock market volatility affect negatively the yields. Evidence supporting the contradictory sign of what the majority of the literature claims regarding public debt is also found. Overall, the results point out that there are no significant differences regarding the determinants of the government bonds yields for the different maturities. Finally, we conclude that the yields were harmful affected by liquidity, labour productivity but mostly by external debt. In turn, activity rate, GDP, public debt and mostly the inflation rate had a beneficial effect on the Portuguese government bonds yields. ; Esta dissertação faz uma análise empírica à evolução das yields da divida pública portuguesa, procurando identificar os seus principais determinantes, para o período entre 2000 e 2016 usando dados trimestrais. Foi estimada uma equação para as yields da divida pública portuguesa considerando três maturidades distintas (um, cinco e dez anos) e incluindo oito variáveis independentes (PIB, divida pública, divida externa, produtividade do trabalho, taxa de atividade, taxa de inflação, volatilidade do mercado acionista e liquidez) de modo a capturar de forma global os efeitos do risco de crédito, da aversão global ao risco bem como do risco de liquidez. Os resultados demonstraram que o PIB, a divida externa, a taxa de inflação e a liquidez influenciam positivamente as yields da divida pública com maturidade a dez anos enquanto que a divida pública, a produtividade do trabalho, a taxa de atividade e a volatilidade do mercado acionista afetam negativamente as yields. Foram ainda encontradas evidências que apoiam o sinal contraditório ao que a maioria da literatura afirma relativamente à divida pública. No GERAL, os resultados apontam que não existem grandes diferenças nos determinantes para as diferentes maturidades. Finalmente, concluímos que a liquidez, a produtividade do trabalho, mas sobretudo a divida externa foram os fatores que originaram uma subida das yields, enquanto que a taxa de atividade, o PIB, a divida pública e a inflação revelaram ter um efeito benéfico sobre as yields da divida pública portuguesa.

John Maynard Keynes held that the central bank's actions determine long-term interest rates through short-term interest rates and various monetary policy measures. His conjectures about the determinants of long-term interest rates were made in the context of advanced capitalist economies, and were based on his views on ontological uncertainty and the formation of investors' expectations. Are these conjectures valid in emerging markets, such as India? This paper empirically investigates the determinants of changes in Indian government bonds' nominal yields. Changes in short-term interest rates, after controlling for other crucial variables such as changes in the rates of inflation and economic activity, take a lead role in driving changes in the nominal yields of Indian government bonds. This vindicates Keynes's theories, and suggests that his views on long-term interest rates are also applicable to emerging markets. Higher fiscal deficits do not appear to raise government bond yields in India. It is further argued that Keynes's conjectures about investors' outlooks, views, and expectations are fairly robust in a world of ontological uncertainty.

This paper investigates the determinants of nominal yields of government bonds in the eurozone. 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 eurozone countries. Furthermore, 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, which supports Keynes's (1930) view that short-term interest rates and other monetary policy measures have a decisive influence on long-term interest rates on government bonds.

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model-free and model-based gauges of sovereign credit premia, which are an important alternative to the information based on CDS markets. The results allow us to quantify the price impact of so-called "safe haven flows", which strongly affected bond markets in late 2008/early 2009 and again during some phases of the sovereign debt crisis. Thus, we show to what extent these effects disguised the increase of sovereign credit premia in the government yields of core euro area countries.

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics ; This paper seeks to find out the determinants of the 10 year Portuguese government bond yield spread for the period between the January of 2010 and December of 2012. Fundamental factors (debt ratio and government balance in % of GDP) and contagion effects are the main drivers behind the surge of the yield spread during the first two years of the sample. Liquidity risk (measured by the bid-ask spread) and the size of the banking system are also significant determinants. These same factors however, have no significance in explaining the drop in the yield spread during the final seven months of the sample.

This paper investigates the long-term determinants of Indian government bonds' (IGB) nominal yields. It examines whether John Maynard Keynes's supposition that short-term interest rates are the key driver of long-term government bond yields holds over the long-run horizon, after controlling for various key economic factors such as inflationary pressure and measures of economic activity. It also appraises whether the government finance variable-the ratio of government debt to nominal income-has an adverse effect on government bond yields over a long-run horizon. The models estimated here show that in India, short-term interest rates are the key driver of long-term government bond yields over the long run. However, the ratio of government debt and nominal income does not have any discernible adverse effect on yields over a long-run horizon. These findings will help policymakers in India (and elsewhere) to use information on the current trend in short-term interest rates, the federal fiscal balance, and other key macro variables to form their long-term outlook on IGB yields, and to understand the implications of the government's fiscal stance on the government bond market.