Sovereign bond yields are generally used as benchmark reference rates to price key interest rates, such as lending rates to households and corporations, and corporate bond yields. Therefore, the study of their determinants is important to understand the monetary transmission mechanism and its possible impairments. For example, when setting the remuneration on deposits, banks compete with yields on bonds and Treasury bills issued by the government. In countries where such yields have become less responsive to policy rates, monetary policy may be less effective in steering banks’ funding costs.[...]