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http://hdl.handle.net/10071/16658
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acessibilidade
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dc.contributor.authorPinho, André-
dc.contributor.authorBarradas, Ricardo-
dc.date.accessioned2018-10-12T14:29:26Z-
dc.date.available2018-10-12T14:29:26Z-
dc.date.issued2018-03-
dc.identifier.urihttp://hdl.handle.net/10071/16658-
dc.description.abstractThis 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.por
dc.description.sponsorshipFCTpor
dc.language.isoengpor
dc.publisherDINÂMIA'CET - IULpor
dc.relationinfo:eu-repo/grantAgreement/FCT/5876/147301/PTpor
dc.relation.ispartofseriesWorking Papers DINÂMIApor
dc.relation.ispartofseriesDINAMIA_WP_2018-03por
dc.rightsopenAccesspor
dc.subjectGovernment bond yieldspor
dc.subjectLong-term and short-term determinantspor
dc.subjectCredit riskpor
dc.subjectGlobal risk aversionpor
dc.subjectLiquidity riskpor
dc.subjectPortugalpor
dc.subjectARDL modelpor
dc.titleDeterminants of the portuguese government bond yieldspor
dc.typeworkingPaperpor
dc.peerreviewedyespor
degois.publication.issueDINAMIA_WP_2018-03por
degois.publication.locationLisboapor
dc.identifier.doi10.15847/dinamiacet-iul.wp.2018.03-
Appears in Collections:DINÂMIA'CET-WP - Working papers com arbitragem científica

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