Purpose – This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market....

We investigate an unexplored link between the US mortgage spread and business cycle and house price fluctuations in emerging market economies (EMEs). An increase in the US mortgage spread leads to substantially lower output, investment, consumption, house and stock prices, and to an improvement...