Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era |
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| Institution: | 1. Department of Economics, Democritus University of Thrace, Greece;2. Department of Economics, Democritus University, Komotini, Greece;1. Department of Accounting and Finance, School of Business & Economics, North Carolina A& T State University, 1621 East Market Street, Greensboro, NC 27411, United States;2. University of Cape Town, School of Economics, Research Unit in Behavioural Economics and Neuroeconomics, Private Bag 5-3b, Rondebosch 7701, South Africa;3. Institute for Innovation and Technology Management, Ted Rogers School of Management, Ryerson University, 575 Bay, Toronto, ON M5G 2C5, Canada;1. Department of Economics and Finance, Brunel University, Uxbridge, UB8 3PH, United Kingdom;2. Department of Economics and Statistics, University of Salerno, Via Ponte Don Melillo, 84084 Fisciano, SA, Italy;3. ISCTE – IUL, Business Research Unit (UNIDE-IUL), Instituto Universitario de Lisboa, Portugal;4. Department of Economics, Social Sciences Building, City University London, Whiskin Street, London EC1R 0JD, United Kingdom;1. Victoria University of Wellington, School of Economics and Finance, PO Box 600, Wellington 6140, New Zealand;2. School of Management, SM 31, The University of Texas at Dallas, Richardson, TX 75083-0688, United States;1. Faculty of Economics and Management, Otto-von-Guericke University, Magdeburg, P.O. Box 4120, 39016 Magdeburg, Germany.;2. Halle Institute for Economic Research, Department of Financial Markets, P.O. Box 110361, 06017 Halle (Saale), Germany.;1. Department of Finance, National Central University, Taiwan;2. Booth School of Business, University of Chicago, USA;1. School of Management, Boston University, 595 Commonwealth Avenue, Boston, MA 02215, USA;2. College of Business and Public Administration, University of North Dakota, 293 Centennial Drive, Grand Forks, ND 58202, USA |
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| Abstract: | This paper studies the influence of macroeconomic fundamentals and the underlying 10 years Greek government bonds. We examine for the period between Q12001 up to end to Q42012, applying four major macroeconomic variables such as Debt to GDP ratio, deficit, inflation and unemployment. We found that, overall, deficit, inflation and unemployment among others, play a more significant role as determinants of the 10-year Greek bond yield, while isolating the period during the crisis macroeconomic factors strengthen their affect to the Greek Debt market. |
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| Keywords: | Sovereign bonds Macroeconomic fundamentals Greek Debt Crisis |
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