Do fiscal shocks explain bond yield in high and low debt economies
Journal article
Authors | Apergis, Nicholas, Rehman, Mobeen and Cooray, Arusha |
---|---|
Abstract | The goal of this paper is to explore determinants of short-, medium- and long-run bond yields through time series data analysis for 11 developed countries, with five of them being high-debt and remaining as the low-debt economies. By applying variance decomposition using structural vector autoregression (SVAR) model, empirical findings confirm an important role of demand and supply factors that drive the interest rates across their frequency spectrum. Our results also highlight that for interest rates of different maturities, these factors exhibit heterogeneous behavior across high- and low-debt countries during the pre- and post-crisis regimes. |
Keywords | Research Subject Categories::SOCIAL SCIENCES; bond yields, time series data, developed countries |
Year | 2020 |
Journal | Journal of Economic Studies |
Publisher | Emerald |
ISSN | 0144-3585 |
Digital Object Identifier (DOI) | https://doi.org/10.1108/JES-05-2019-0229 |
Web address (URL) | http://hdl.handle.net/10545/624955 |
http://creativecommons.org/publicdomain/zero/1.0/ | |
hdl:10545/624955 | |
Publication dates | 29 Jun 2020 |
Publication process dates | |
Deposited | 07 Jul 2020, 14:04 |
Accepted | 16 May 2020 |
Rights | CC0 1.0 Universal |
Contributors | University of Derby, Ton Duc Thang University and Embassy of Sri Lanka, Oslo, Norway |
File | File Access Level Open |
File | File Access Level Open |
File | File Access Level Open |
https://repository.derby.ac.uk/item/94wq5/do-fiscal-shocks-explain-bond-yield-in-high-and-low-debt-economies
Download files
136
total views20
total downloads0
views this month2
downloads this month