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

• Marcos González-Fernández ^[1] ; Carmen González-Velasco ^[1]
  1. [1] Universidad de León

     Universidad de León

     León, España

     
• Localización: Revista de métodos cuantitativos para la economía y la empresa, ISSN-e 1886-516X, Vol. 21, 2016, págs. 103-116
• Idioma: inglés
• Títulos paralelos:
  • ¿Qué países pagan más o menos por su deuda a largo plazo? Una aproximación a través de la metodología CART
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• Resumen
  • español

    El objetivo de este artículo es clasi ficar un grupo de pases de la UME te- niendo en cuenta los principales determinantes de los tipos a largo plazo de la deuda soberana. Se aplica la metodología basada en arboles de decisión.

    Segun los resultados, los grupos de pases que tienen menor inflación, deuda pública, tipo impositivo medio y mayor vencimiento de la deuda pública y crecimiento económico pagan menos por su deuda soberana a largo plazo.

    Se confi rma la hipótesis de que los pases que tienen los mejores indicadores macroeconomicos y fi scales son los que presentan menores costes en su deuda soberana.

  • English

    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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