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Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities

Aaron Mehrotra, Richhild Moessner and Chang Shu

No 20/2019, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition

Abstract: We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia components of long-term rates in the United States. We find that spillovers to domestic long-term rates in emerging economies from the US expectations components tend to be more sizeable than those from the US term premia. Finally, spillovers from US term premia are larger when an emerging economy displays greater macro-financial vulnerabilities.

JEL-codes: E52 E43 F42 F65 (search for similar items in EconPapers)
Date: 2019-10-16
New Economics Papers: this item is included in nep-mac
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Related works:
Working Paper: Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities (2019) Downloads
Working Paper: Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities (2019) Downloads
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