The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields
Tamim Bayoumi and
Andrew Swiston
IMF Staff Papers, 2010, vol. 57, issue 2, 366-406
Abstract:
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.
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
http://www.palgrave-journals.com/imfsp/journal/v57/n2/pdf/imfsp200913a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/imfsp/journal/v57/n2/full/imfsp200913a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.
Related works:
Working Paper: The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields (2007) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pal:imfstp:v:57:y:2010:i:2:p:366-406
Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/41308/PS2
Access Statistics for this article
More articles in IMF Staff Papers from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().