long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR … variance decompositions with high frequency data. Our results reveal that sovereign bond yields in Emerging Asia responded … significantly to changes to US and Eurozone bond yields, although the magnitudes were heterogeneous across countries. The size of …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond … yields to move in opposite directions. Estimates show that only a small share is due to the flight to quality. Comparison …

long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR … variance decompositions with high frequency data. Our results reveal that sovereign bond yields in Emerging Asia responded … significantly to changes to US and Eurozone bond yields, although the magnitudes were heterogeneous across countries. The size of …