Linkages in the term structure of interest rates across sovereign bond markets

Subramaniam Sowmya, Krishna Prasanna and Saumitra Bhaduri

Emerging Markets Review, 2016, vol. 27, issue C, 118-139

Abstract: This paper investigates the linkages in the sovereign bond yields across different maturity spectrums among both developed and Asian countries. Term structure of interest rate is estimated using the Dynamic Nelson Siegel model and Kalman filter. The degrees of integration and transmission of shocks from one country to another are measured using forecast error variance decomposition in the generalized vector autoregression (VAR) model. The level factor showed higher spillover index across the countries. Regional influence is found to be higher in slope and curvature factors among the Asian countries. The linkages are high during periods of crisis.

Keywords: Yield curve; Dynamic Nelson Siegel model; Spillover; Linkages; Variance decompositions; Financial crisis (search for similar items in EconPapers)
JEL-codes: C58 E43 G01 G12 G15 G2 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:27:y:2016:i:c:p:118-139

DOI: 10.1016/j.ememar.2016.05.001

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