Global dynamics of bond co-movements: insights from the response to the US bond yields using wavelet methods

Youngran Choi, Eben Josecliff Gladson and Hari Adhikari

Finance Research Letters, 2024, vol. 69, issue PA

Abstract: We investigate the impact of U.S. monetary policy on bond yields across 33 countries during the period of January 2015 to August 2023, with a focus on the COVID-19 pandemic. Employing wavelet techniques, we find significant spillover effects of U.S. interest rate adjustments on both advanced and emerging economies, particularly during the pandemic. Advanced economies tend to display stronger co-movements with the U.S. while emerging economies exhibit more volatile responses based on their financial structures and ties to the U.S. market. China demonstrates a relatively autonomous financial response compared to other countries, even during the pandemic. Our findings highlight the importance of proactive policymaking and investment strategies to mitigate adverse effects on financial stability.

Keywords: Global bond yields; COVID-19; Wavelet analysis; Spillover effects (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G18 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010304

DOI: 10.1016/j.frl.2024.106000

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