Determinants of sovereign bond yields empirical evidence from quantile regression
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Subject
BondsKeywords
Quantile ; Debt to GDP ; Inflation ; OIS index ; VIX indexAbstract
This study investigates the determinants of sovereign bond yields in some distinctive countries among the Eurozone. The methodology that is used to test the determinants of the sovereign bond yields is the quantile regression. The regression examines the relation between the below determinants and the 10th, 50th and 90th quantile. The tests are applied to volatility index, overnight index swap, debt to GDP and inflation for the time period from 2003 to 2014.The findings indicate various results for specific quantiles.
Postgraduate Studies Programme
Οργάνωση και Διοίκηση Βιομηχανικών ΣυστημάτωνDepartment
Σχολή Ναυτιλίας και Βιομηχανίας. Tμήμα Βιομηχανικής Διοίκησης και TεχνολογίαςNumber of pages
55Language
EnglishCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές