The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields
This paper explores international bond spillovers using daily and weekly data on yields on inflation-indexed bonds and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom. The analysis starts in 2002, by which point U.S. inflation-indexed markets had matured. Real bond yields are found to be closely linked across countries, with developments in U.S. markets determining around half of real foreign yields and no evidence of spillovers back to the United States. Spillovers in inflation expectations are smaller and the direction of causation is less clear.
Year of publication: |
2010
|
---|---|
Authors: | Bayoumi, Tamim ; Swiston, Andrew |
Published in: |
IMF Staff Papers. - Palgrave Macmillan, ISSN 1020-7635. - Vol. 57.2010, 2, p. 366-406
|
Publisher: |
Palgrave Macmillan |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
The Ties That Bind : Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields
Swiston, Andrew, (2007)
-
Foreign Entanglements : Estimating the Source and Size of Spillovers Across Industrial Countries
Bayoumi, Tamim, (2007)
-
Bayoumi, Tamim, (2008)
- More ...