Which Countries Pay More or Less For Their Long Term Debt? A CART Approach // ¿Qué países pagan más o menos por su deuda a largo plazo? Una aproximación a través de la metodología CART

Autores/as

  • 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

Palabras clave:

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

Resumen

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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El objetivo de este artículo es clasificar un grupo de países de la UME teniendo en cuenta los principales determinantes de los tipos a largo plazo de la deuda soberana. Se aplica la metodología basada en árboles de decisión. Según los resultados, los grupos de países 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 confirma la hipótesis de que los países que tienen los mejores indicadores macroeconómicos y fiscales son los que presentan menores costes en su deuda soberana.

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Citas

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Publicado

2016-11-04

Cómo citar

González-Fernández, M., & González-Velasco, C. (2016). Which Countries Pay More or Less For Their Long Term Debt? A CART Approach // ¿Qué países pagan más o menos por su deuda a largo plazo? Una aproximación a través de la metodología CART. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 21, Páginas 103 a 116. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2255

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