Which Countries Pay More or Less For Their Long Term Debt? A CART Approach

Authors

  • Marcos González-Fernández Department of Business Economics and Management Faculty of Economics and Business University of Leon
  • Carmen González-Velasco Department of Business Economics and Management Faculty of Economics and Business University of Leon

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2255

Keywords:

Long-term yields, sovereign yields, classification trees, decision trees, tipos a largo plazo, rendimientos soberanos, árboles de clasificación, árboles de decisión

Abstract

The objective of this paper is to classify a group of EMU countries according to the main determinants of long-term sovereign bond yields. We apply the Classication and Regression Tree method (CART). According to the findings, countries with lower inflation, a lower debt to GDP ratio, a lower average income tax rate, higher public debt maturity and higher IPI growth are placed in classification groups that have lower bond yields. These results confirm the hypothesis that countries with better macroeconomic and fiscal indicators have lower sovereign bond yields.

 

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Published

2016-11-04

How to Cite

González-Fernández, M., & González-Velasco, C. (2016). Which Countries Pay More or Less For Their Long Term Debt? A CART Approach . Journal of Quantitative Methods for Economics and Business Administration, 21, Páginas 103 a 116. https://doi.org/10.46661/revmetodoscuanteconempresa.2255

Issue

Vol. 21 (2016)

Section

Articles

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