The term structures of global yields

Emanuel Mönch
Authors registered in the RePEc Author Service: Emanuel Moench

A chapter in Asia-Pacific fixed income markets: evolving structure, participation and pricing, 2019, vol. 102, pp 3-15 from Bank for International Settlements

Abstract: Sovereign bond yields in more than 20 developed and emerging market economies are decomposed into expected short rates and term premia using the Adrian, Crump and Moench (2013) approach. I document that (i) term premia account for large fractions of global bond yield variation; (ii) the co-movement of sovereign bond yields is, to a large extent, driven by the term premium components of sovereign yields, especially in recent years; (iii) connectedness and tail dependence between international bond markets are primarily driven by the term premium components of global yields; and (iv) global bond yields strongly respond to US target rate shocks, albeit with considerable delay. This response is primarily driven by a reassessment of global policy rate expectations.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisbpc:102-02

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