Which countries pay more or less for their long term debt? A CART approach
[EN] The objective of this paper is to classify a group of EMU countries accord- ing to the main determinants of long-term sovereign bond yields. We apply the Classi cation and Regression Tree method (CART). According to the ndings, countries with lower in ation, a lower debt to GDP ratio, a lower a...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2016 |
| País: | España |
| Institución: | Universidad de León |
| Repositorio: | BULERIA. Repositorio Institucional de la Universidad de León |
| OAI Identifier: | oai:buleria.unileon.es:10612/21240 |
| Acceso en línea: | https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2255 https://hdl.handle.net/10612/21240 |
| Access Level: | acceso abierto |
| Palabra clave: | Contabilidad Economía Finanzas Long-term yields Sovereign yields classi fication trees decision trees |
| Sumario: | [EN] The objective of this paper is to classify a group of EMU countries accord- ing to the main determinants of long-term sovereign bond yields. We apply the Classi cation and Regression Tree method (CART). According to the ndings, countries with lower in ation, a lower debt to GDP ratio, a lower average income tax rate, higher public debt maturity and higher IPI growth are placed in classi cation groups that have lower bond yields. These results con rm the hypothesis that countries with better macroeconomic and scal indicators have lower sovereign bond yields. |
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