The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields
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Summary:
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.
Series:
Working Paper No. 2007/128
Subject:
Bond yields Inflation Inflation-indexed bonds Real interest rates Spillovers
English
Publication Date:
June 1, 2007
ISBN/ISSN:
9781451866926/1018-5941
Stock No:
WPIEA2007128
Pages:
40
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