Determinants of the Government Bond Yield in Spain: A Loanable Funds Model

Abstract

This paper applies demand and supply analysis to examine the government bond yield in Spain. The sample ranges from 1999.Q1 to 2014.Q2. The EGARCH model is employed in empirical work. The Spanish government bond yield is positively associated with the government debt/GDP ratio, the short-term Treasury bill rate, the expected inflation rate, the U.S. 10 year government bond yield and a dummy variable representing the debt crisis and negatively affected by the GDP growth rate and the expected nominal effective exchange rate.

Determinants of the portuguese government bond yields

“…Macroeconomic performance tends to be assessed using the potential growth of the gross domestic product (Pham, 2014;Poghosyan, 2014) or the growth rate of the gross domestic product (Kumar and Baldacci, 2010;Hsing, 2015). According to Laubach (2009) and Poghosyan (2014), the linkage between macroeconomic performance and government bond yields can be explained using Euler's equation concerning consumers' utility maximisation problem.…”

“…Inflation, either through historical rates (Ardagna et al, 2007;Poghosyan, 2014) or through expected rates (Hsing, 2015), influences nominal interest rates through two different channels: the level of inflation rate by itself and the uncertainty that is normally associated with it. Accordingly, Kumar and Baldacci (2010) suggest that higher inflation expectations may push government bond yields upwards through the increase in the inflation premium embodied in nominal rates, especially at times when the output deviations are positive or there are concerns about the monetisation of debt.…”

“…This suggests that investors tend to associate higher rates of inflation with the existence of structural problems in the government's finances and/or with a certain degree of political instability (Cantor and Packer, 1996). Hsing (2015), through a single-country analysis for Spain over the period from 1999 to 2014, concludes that an increase in the expected inflation rate contributes to an increase in Spanish government bond yields.…”

Determinan Harga Samurai Bonds: Pengalaman Indonesia

“…Hasil penelitian Ichsan et al (2013) menemukan bahwa inflasi berpengaruh positif terhadap obligasi pemerintah di Indonesia. Demikian pula penelitian yang dilakukan oleh Hsing (2015) yang menyatakan bahwa obligasi pemerintah memiliki hubungan positif dengan inflasi. Hal ini berbeda dengan penelitian sebelumnya yang hasilnya menyatakan inflasi tidak berpengaruh signifikan terhadap harga obligasi pemerintah Indonesia (Sukanto, 2009).…”

“…Penelitian yang dilakukan oleh Chee dan Fah (2013) di Inggris menemukan bahwa nilai tukar memiliki hubungan positif dan signifikan terhadap obligasi pemerintah. Pengaruh signifikan nilai tukar terhadap harga obligasi juga terjadi di Spanyol namun hubungan antara keduanya bersifat negatif (Hsing, 2015).…”