Date of Award
Michalis Nikiforos, Ph.D.
This dissertation investigates the long-term determinants of the government bond nominal yields of Brazil, Colombia, and Mexico. It deploys vector error correction (VEC) model to assess whether John Maynard Keynes’s view that the central bank’s actions, mainly through short-term interest rates and various monetary policy measures, are the key drivers of long-term government bond yields over the long-run, after controlling for key economic variables such as the inflation rate, GDP growth rate, and government debt- and deficit-to-GDP ratios. The results from the models estimated indicate that short-term interest rates are the main drivers of longterm government bond yields for all three countries thus supporting Keynes’s conjectures in the context of Latin American emerging markets. The results also demonstrate that higher government debt and deficit ratios do not exert upward pressures on the Brazilian government bond yields. Contrary to conventional wisdom, a rise in the Brazilian government debt- and deficit-to-GDP ratios lowers the government bond yields. For Colombia and Mexico, some of the results from the estimated models are in concordance with the conventional view, but many also suggest that the government finance variables do not have statistically significant effect on the government bond yields.
Simoski, Simon, "A Keynesian Exploration of the Determinants of Government Bond Yields for Brazil, Colombia, and Mexico" (2019). Masters of Science in Economic Theory and Policy. 16.