EconPapers    
Economics at your fingertips  
 

Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities

Aaron Mehrotra, Richhild Moessner and Chang Shu

No 7896, CESifo Working Paper Series from CESifo Group Munich

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.

Keywords: interest rate spillovers; term premia; emerging economies (search for similar items in EconPapers)
JEL-codes: E52 E43 F42 F65 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.cesifo-group.de/DocDL/cesifo1_wp7896.pdf (application/pdf)

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
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:ces:ceswps:_7896

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Group Munich Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().

 
Page updated 2020-01-22
Handle: RePEc:ces:ceswps:_7896