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The effect of macroeconomic variables on government bond yields: an analysis for the European government bond market
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Resumo(s)
This work project examines the effect of certain macroeconomic variables on the yield
of government bonds. By using time series data on the weighted average of government bond
yields for the 27 member states of the European Union, this research employs a Vector Error
Correction Model (VECM) to uncover both short- and long-term relationships. Variables under
considerations are inflation, money supply, the market interest -, the exchange - and the
unemployment rate. An impulse response functions and forecast error variance decomposition
analysis concludes the work to examine the significance and persistence of these effects over
time.
Descrição
Palavras-chave
Government bond yields Macroeconomic variables Vector error correction model Impulse response functions Forecast error variance decomposition