Which countries pay more or less for their long term debt? A CART approach

  1. Marcos González-Fernández 1
  2. Carmen González-Velasco 1
  1. 1 Universidad de León
    info

    Universidad de León

    León, España

    ROR https://ror.org/02tzt0b78

Revista:
Revista de métodos cuantitativos para la economía y la empresa

ISSN: 1886-516X

Any de publicació: 2016

Volum: 21

Pàgines: 103-116

Tipus: Article

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Altres publicacions en: Revista de métodos cuantitativos para la economía y la empresa

Resum

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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