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Applied Economics Volume 47, 2015 - Issue 37
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Original Articles

Short- and long-run behaviour of long-term sovereign bond yields

António AfonsoDepartment of Economics, ISEG/ULisbon – University of Lisbon, R. Miguel Lupi, 20, 1249-078Lisbon, Portugal;UECE – Research Unit on Complexity and Economics, R. Miguel Lupi 20, 1249-078Lisbon, Portugal;ECB, Directorate General Economics, Kaiserstraße 29, D-60311Frankfurt am Main, GermanyCorrespondence[email protected]
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Christophe RaultToulouse Business School, Toulouse, FranceView further author information
Pages 3971-3993 | Published online: 23 Mar 2015

Citations (15)

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Read on this site (3)

Sheunesu Zhou. (2021) Macroeconomic determinants of long-term sovereign bond yields in South Africa. Cogent Economics & Finance 9:1.
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Tomasz Łyziak & Joanna Mackiewicz-Łyziak. (2019) Sustainability of Public Finances in European Economies: Fiscal Policy Reactions and Market Pricing. Eastern European Economics 57:1, pages 3-19.
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Eyup Dogan, Fahri Seker & Serap Bulbul. (2017) Investigating the impacts of energy consumption, real GDP, tourism and trade on CO2 emissions by accounting for cross-sectional dependence: A panel study of OECD countries. Current Issues in Tourism 20:16, pages 1701-1719.
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Articles from other publishers (12)

Michele Manna & Stefano Nobili. (2021) Banks' holdings of and trading in government bonds. International Journal of Finance & Economics 28:1, pages 257-283.
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Anastasios Pappas & Ioannis Kostakis. (2020) The Driving Factors of EMU Government Bond Yields: The Role of Debt, Liquidity and Fiscal Councils. International Journal of Financial Studies 8:3, pages 53.
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J. Beleza Sousa, Manuel L. Esquível & Raquel M. Gaspar. (2020) Pulled-to-Par Returns for Zero-Coupon Bonds Historical Simulation Value at Risk. Journal of Statistical Theory and Practice 14:2.
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António Afonso & João Tovar Jalles. (2018) Economic volatility and sovereign yields’ determinants: a time-varying approach. Empirical Economics 58:2, pages 427-451.
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Joanna Mackiewicz-Łyziak & Tomasz Łyziak. (2019) A new test for fiscal sustainability with endogenous sovereign bond yields: Evidence for EU economies. Economic Modelling 82, pages 136-151.
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António Afonso & João Tovar Jalles. (2019) Quantitative easing and sovereign yield spreads: Euro-area time-varying evidence. Journal of International Financial Markets, Institutions and Money 58, pages 208-224.
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Michał Brzozowski & Joanna Siwińska‐Gorzelak. (2016) The Interplay Between Public and Private External Debt Stocks. International Finance 19:3, pages 311-332.
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Eyup Dogan & Fahri Seker. (2016) Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy. Renewable Energy 94, pages 429-439.
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Chryssanthi Filippopoulou. (2019) Yield Spread Determinants & Reaction to Negative Event-shocks and Downgrades: The Case of Greece. SSRN Electronic Journal.
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Michele Manna & Stefano Nobili. (2018) Bankss Holdings of and Trading in Government Bonds. SSRN Electronic Journal.
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Martijn Drres, Ryan <!> van Lamoen & Simona Mattheussens. (2017) Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Asset Purchase Program. SSRN Electronic Journal.
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Antonio Afonso, Michael Arghyrou & Alexandros Kontonikas. (2012) The Determinants of Sovereign Bond Yield Spreads in the EMU. SSRN Electronic Journal.
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