Domestic and International Determinants of Bond Yields
2009 (English)Report (Other academic)
Earlier work on the determination of long-run interest rates have not settled the issue ofwhether long run national interest rates respond more to domestic or internationalfactors. This subject has assumed renewed interest in the wake of European economicand financial integration, with attempts to measure the degree of short and long-runfinancial integration. In this study, using a sample of ten industrial nations and emergingmarket nations, a comprehensive analysis is done of the influence of home and globalfactors on long-run bond rates. The key determinants of national long-run bond yieldsturn out to be the national short-run money market rates and the U.S long-run bondrate. The government debt burden also has explanatory powers in the case of the majorcountries in the sample. There is no evidence of complete international financialintegration in the long-run bond markets.
Place, publisher, year, edition, pages
Kozhikode: IIMK , 2009.
Indian Institute of Management Kozhikode, Working papers, 48/ECO/2009/04
IdentifiersURN: urn:nbn:se:sh:diva-6234OAI: oai:DiVA.org:sh-6234DiVA: diva2:403247