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The Ties that Bind; Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields

Andrew J Swiston and Tamim Bayoumi

No 07/128, IMF Working Papers from International Monetary Fund

Abstract: This paper explores international bond spillovers using daily and intra-day 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 were fully mature. 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.

Keywords: Inflation; Inflation-indexed bonds; Spillovers; Real interest rates; Market Efficiency, bond, bonds, real rates, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2007-06-01
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Journal Article: The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields (2010) Downloads
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