Determinants of long-term yields: A panel data analysis of major countries

Hibiki Ichiue, Yuhei Shimizu

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


We utilize cross-country panel data to investigate the determinants of long-term bond yields. To address endogeneity, we use forward interest rates and various forecasts of economists and international organizations. Our result suggests that when an increase in government debt is financed entirely by foreign borrowing, the increase in the forward real interest rate is around three times that when financed domestically. We also find that expectations for aging lower yields. On the other hand, the effect of primary balance is insignificant. Current account balance provides no additional information beyond net foreign debt. We discuss implications of these findings for Japan's and US yields.

Original languageEnglish
Pages (from-to)44-55
Number of pages12
JournalJapan and The World Economy
Publication statusPublished - 2015 May 1
Externally publishedYes


  • Demographics
  • Fiscal conditions
  • Foreign debt
  • Inflation uncertainty
  • Long-term interest rates

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations


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