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.
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.
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management ; Financial markets, due to their non-linear, volatile and complex nature turn any type of forecasting into a difficult task, as the classical statistical methods are no longer adequate. Many factors exist that can influence the government bonds yields and how these bonds behave. The consequence of the behaviour of these bonds are extended over geographies and individuals. As the financial markets grow bigger, more investors are trying to develop systematic approaches that are intended to predict prices and movements. Machine Learning algorithms already proven their value in predicting and finding patterns in many subjects. When it comes to financial markets, Machine Learning is not a new tool. It is already widely used to predict behaviours and trends with some degree of success. This dissertation aims to study the application of two Machine Learning algorithms - Genetic Programming (GP) and Long Short-Term Memory (LSTM) - to the Portuguese Government 10Y Bond and try to forecast the yield with accuracy. The construction of the predictive models is based on historical information of the bond and on other important factors that influence its behaviour, extracted through the Bloomberg Portal. In order to analyse the quality of the two models, the results of each algorithm will be compared. An analysis will be presented regarding the quality of the results from both algorithms and the respective time cost. In the end, each model will be discussed and conclusions will be taken about which one can be the answer to the main question of this study, which is "What will the Yield of the Portuguese Government 10Y Bond be on T+1?". The results obtained showed that Genetic Programming can create a model with higher accuracy. However, Long Short-Term Memory should not be ignored because it can also point to good results. Regarding execution time, velocity is a problem when it comes to Genetic Programming. This algorithm takes more time to execute compared to LSTM. Long Short-Term Memory is considerably quicker to get results. In order to take the right decision about which model to choose one must keep in mind the priorities. In case accuracy is the priority, Genetic Programming will be the answer. Nevertheless, when velocity is the priority Long Short-Term Memory should be the choice.
Classificação: G15, E62 ; Esta dissertação consiste numa análise mensal da evolução das yields de obrigações emitidas, a 10 anos, pela Republica Portuguesa, comparativamente aos títulos, com a mesma maturidade, suportados pelo Governo Alemão. Através deste estudo pretendemos identificar os principais determinantes, e analisar a evolução, dos juros da divida Portuguesa durante o período Janeiro de 2007 a Dezembro de 2014. Factores de risco específico e agregado são ambos importantes para um estudo explicativo da evolução das yields associadas à divida soberana do estado Português. No entanto, a importância relativa de cada um deles é variável, ao longo do tempo, em linha com mudanças estruturais ocorridas na envolvente. No período que antecedeu a Crise Financeira Global, os juros da dívida Portuguesa, à semelhança de outras economias europeias, eram primeiramente explicados por um modelo de convergência económica. Mais tarde, com o início da Crise da Dívida Soberana, os investidores aumentaram a importância concedida a indicadores macroeconómicos dos países emitentes. Todavia, dentro de um contexto de instabilidade económico-financeira uma avaliação imparcial fica comprometida. A visível mudança ocorrida no processo de percepção de risco, e consequente atribuição de valor de mercado à divida soberana nacional, é explicada por um aumento no grau de incerteza e de aversão ao risco. Concluímos portanto, que anteriormente ao inicio da crise financeira global, o valor das yields estava a baixo do seu valor real (sobrevalorização de preços), e com a crise da divida soberana o seu valor permaneceu "biased", mas, desta vez, na direcção oposta (subvalorização de preços). ; The Portuguese Sovereign debt spread, from January of 2007 to December of 2014, is analyzed in this dissertation. Its main determinants are identified comparing monthly data and using Germany as a benchmark (benchmarked with German government bonds). The main objective of the present work is to examine the Portuguese Government bond yield spread sensitivity to changes both in the common and idiosyncratic risk factors. We investigated whether or not the relative importance of common and idiosyncratic risk factors has changed over time, aligned with structural changes in the economy. The main conclusions are that both idiosyncratic and common risk factors explain the Portuguese sovereign debt spread developments. Although their relative importance has changed over time in line with disruptive structural market incidents. Prior to the Global Financial Crisis (GFC) the Portuguese government bond yield spreads were mostly driven by a trade convergence model. After the eruption of the Euro area sovereign debt crisis, investors increased their attention on macroeconomic fundamentals. However, in a scenario of financial distress, objective assessment of macroeconomic indicators is compromised, leading to investors" overreaction. This shift in the way investors perceive and price risk is mostly explained by the higher levels of uncertainty and increased risk aversion, typical in moments of market turmoil. Hence, we conclude that before the GFC, Portuguese government bond yields were below their true value (bond prices overvalued), and with the Euro area debt crisis it continued biased, but this time in the opposite direction (bond prices undervalued). JEL Classification: G15, E62 Keywords:
AbstractRecent studies have indicated that government bonds are an imperfect substitute for money in providing transaction services. Based on these studies, this article develops a theoretical framework showing that, as with money seigniorage, the government can gain an interest benefit from issuing government bonds. The article terms this interest benefit as 'government bond seigniorage'. Further, the article estimates government bond seigniorage in comparison with money seigniorage for five countries (Australia, Canada, France, Italy and the United States) during the period 1959–2001. It is found that government bond seigniorage accounts for a larger percentage of Gross Domestic Product than money seigniorage, but also experiences greater fluctuations for all sample countries.
The presentcase study analyses the Portuguese publicdebt management during theEuropeanSovereign debtcrisis, namely the decisions undertook by the Government and by the Portuguese Debt Management Agency.On April 6th,2011, Portugal requestedofficial financial assistance, beginning a three-year period in which market access was severely constrained.This case studyfocus onthe behaviourof relevant parameters,such as the evolution of yieldsand spreads for Government bonds, the shareof public debt held by domestic and non-domestic investors through time, the progressionof Portuguese debt ratings and thecomposition of the stock of public debt.
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns
The Internet, the World Wide Web and electronic commerce are transforming the way of doing business. These changes are impacting every industry in our country, including local government. The Internet offers a wide variety of opportunities to improve services to citizens and to divulge information's about the communities. In Portugal, the adherence to the Internet by local government is increasing visibly, but much more has to be done. In 1999 a first study was done in order to evaluate the situation of e-government in our country, and two years passed a new study was undertaken, this time in order to evaluate the evolution registered in this area. In this paper we describe some conclusions achieved in these studies comparing their evolution in these two years. ; - ...
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns
