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Bond Yield Spillovers from Major Advanced Economies to Emerging Asia

Ansgar Belke (), Irina Dubova and Ulrich Volz

No 201702, ROME Working Papers from ROME Network

Abstract: This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance decompositions with high frequency data. Our results reveal that sovereign bond yields in Emerging Asia responded significantly to changes to US and Eurozone bond yields, although the magnitudes were heterogeneous across countries. The size of spillovers varied over time. The pattern of these variations can partially be explained by the implementation of different unconventional monetary policy measures in advanced countries.

Keywords: Long-term interest rates; bond yields; monetary policy spillovers; Emerging Asia (search for similar items in EconPapers)
JEL-codes: E52 E58 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-sea
Date: 2017-02
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http://www.rome-net.org/RePEc/rmn/wpaper/rome-wp-2017-02.pdf First version, 2017 (application/pdf)

Related works:
Journal Article: Bond yield spillovers from major advanced economies to emerging Asia (2018) Downloads
Working Paper: Bond Yield Spillovers from Major Advanced Economies to Emerging Asia (2017) Downloads
Working Paper: Bond Yield Spillovers from Major Advanced Economies to Emerging Asia (2017) Downloads
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