{
  "title": "Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies",
  "publication": "IMF Working Papers, November 8, 2012",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091",
  "overlayPath": "/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091/index.md",
  "summary": "We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques.",
  "sections": [
    {
      "heading": "Summary of study",
      "content": "- Analysis period: 1980-2010.\n- Sample: 22 advanced economies.\n- Methodology: panel cointegration techniques to distinguish long-run and short-run determinants of sovereign borrowing costs.\n- Paper metadata:\n  - Pages: 26\n  - Volume: 2012\n  - Issue: 271\n  - Series: Working Paper No. 2012/271\n  - DOI: https://doi.org/10.5089/9781475529142.001\n  - Stock No: WPIEA2012271\n  - ISBN: 9781475529142\n  - ISSN: 1018-5941"
    },
    {
      "heading": "Long-run determinants (empirical findings)",
      "content": "- Government debt-to-GDP ratio:\n  - Government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio.\n- Potential growth rate:\n  - Government bond yields increase by about 45 basis points in response to a 1 percentage point increase in potential growth rate."
    },
    {
      "heading": "Short-run determinants and dynamics",
      "content": "- Short-run factors cited include inflation and short-term interest rates (among others).\n- Adjustment dynamics:\n  - Sovereign bond yields deviate from the level determined by long-run fundamentals in the short run.\n  - About half of the deviation adjusts in one year."
    },
    {
      "heading": "Impact of the global financial crisis (euro area focus)",
      "content": "- Estimation results for euro area countries:\n  - Spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis.\n  - Some North European countries benefited from “safe haven” flows, implying spreads below levels implied by fundamentals."
    },
    {
      "heading": "Subject tags and keywords (as provided)",
      "content": "- Subject: Bond yields, Financial institutions, Financial services, Fiscal policy, Fiscal stance, Public debt, Sovereign bonds, Yield curve\n- Keywords: bond yield, Bond yields, debt ratio, Fiscal stance, Global, government bond bond yield, Government bond yields, inflation, long-run and short-run determinants, panel cointegration, real bond yields, sovereign bond bond yield, sovereign bond yield, Sovereign bonds, WP, Yield curve\n\nLong-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies, Tigran Poghosyan, IMF Working Papers 2012, 271 (2012), DOI: https://doi.org/10.5089/9781475529142.001\n\n---\n\n Content in this bundle\n\n- wp12271\n  - wp12271 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp12271 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091/bundle-manifest.json)",
    "Authors: Tigran Poghosyan",
    "Published: November 8, 2012",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781475529142.001",
    "Analysis period: 1980-2010.",
    "Sample: 22 advanced economies.",
    "Methodology: panel cointegration techniques to distinguish long-run and short-run determinants of sovereign borrowing costs.",
    "Paper metadata:",
    "Government debt-to-GDP ratio:",
    "Potential growth rate:",
    "Short-run factors cited include inflation and short-term interest rates (among others).",
    "Adjustment dynamics:",
    "Estimation results for euro area countries:",
    "Subject: Bond yields, Financial institutions, Financial services, Fiscal policy, Fiscal stance, Public debt, Sovereign bonds, Yield curve",
    "Keywords: bond yield, Bond yields, debt ratio, Fiscal stance, Global, government bond bond yield, Government bond yields, inflation, long-run and short-run determinants, panel cointegration, real bond yields, sovereign bond bond yield, sovereign bond yield, Sovereign bonds, WP, Yield curve",
    "**_wp12271**"
  ],
  "related": [
    {
      "title": "_wp12271",
      "role": "document",
      "sourceUrl": "https://www.imf.org/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2012/_wp12271.pdf",
      "summary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2012/_wp12271.pdf.md",
        "mime": "text/markdown"
      },
      "binary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2012/_wp12271.pdf",
        "mime": "application/pdf"
      }
    }
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091/index.md",
    "json": "/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091/index.json",
    "bundleManifest": "/en/publications/wp/issues/2016/12/31/long-run-and-short-run-determinants-of-sovereign-bond-yields-in-advanced-economies-40091/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-17T17:25:19.800Z"
}