Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities
Mehrotra, Aaron; Moessner, Richhild; Shu, Chang (16.10.2019)
Numero
20/2019Julkaisija
Bank of Finland
2019
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201910171535Tiivistelmä
We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia components of long-term rates in the United States. We find that spillovers to domestic long-term rates in emerging economies from the US expectations components tend to be more sizeable than those from the US term premia. Finally, spillovers from US term premia are larger when an emerging economy displays greater macro-financial vulnerabilities.
Sisällysluettelo
Abstract ..4
1 Introduction ..5
2 Methodology and data ..7
3 Empirical results ..11
3.1 Interest rate spillovers ..11
3.2 Macro-financial vulnerabilities ..14
4. Conclusions ..16
References ..17
Appendix ..19
1 Introduction ..5
2 Methodology and data ..7
3 Empirical results ..11
3.1 Interest rate spillovers ..11
3.2 Macro-financial vulnerabilities ..14
4. Conclusions ..16
References ..17
Appendix ..19