The relationship between bond yields and macroeconomic variables - before and after the European debt crisis
| Autor: | Yu-Chi Wei, 魏毓琪 |
|---|---|
| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 The purpose of papers is to examine the relationship between macroeconomic variables and different maturity of treasury bond yields, explores the relationship between macroeconomic variables and different credit rating of corporate bond yields before and after European debt crisis and the impulse response of change of government finance to different maturity of treasury bond yields’ spreads. We use monthly data including five countries (Italy, Greece, Ireland, Spain and Portugal )of consumer price index, industrial production index, one-year treasury bonds, ten-year treasury bonds, AA rating corporate bond yield, BBB rating corporate bond yield, BB rating corporate bond yield, B rating corporate bond yield, CCC rating corporate bond yield and the quarterly growth rate of the public debt to GDP ratio from January 2004 to September 2014. we provide separate results for the pre-crisis period 2004 -2009 and the post crisis period in January 2010 to September 2014.The empirical results of VAR model reveal as follows: Before the European Debt Crisis, macroeconomic variables would be leading indicators of the change of long-term bond yields in Italy. macroeconomic variables would be leading indicators of short-term bond yields in Greece. However, speculative -grade corporate bond yields would be leading indicators of macroeconomic variables in Spain. Therefore, investment-grade corporate bond yields would be leading indicators of macroeconomic variables in Portugal. After the European Debt Crisis, change of long-term and short-term bond yields, would be leading indicators of macroeconomic variables in Italy. Macroeconomic variables would be leading indicators of the change of investment-grade and speculative -grade corporate bond yields in Portugal. Nevertheless, speculative -grade corporate bond yields would be leading indicators of macroeconomic variables in Spain and Greece. Results of impulse response of the change of long-term and short-term bond yields’ spreads show that the public debt to GDP growth ratio more fluctuate in Greece and Portugal than other countries. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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