Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities
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.
Year of publication: |
2019
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Authors: | Mehrotra, Aaron ; Moessner, Richhild ; Shu, Chang |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | interest rate spillovers | term premia | emerging economies |
Saved in:
freely available
Series: | CESifo Working Paper ; 7896 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1681664127 [GVK] hdl:10419/207287 [Handle] RePec:ces:ceswps:_7896 [RePEc] |
Classification: | E52 - Monetary Policy (Targets, Instruments, and Effects) ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; F42 - International Policy Coordination and Transmission ; f65 |
Source: |
Persistent link: https://www.econbiz.de/10012141097