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

June 1, 2007

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Format: Chicago

Andrew J Swiston, and Tamim Bayoumi. The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields, (USA: International Monetary Fund, 2007) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Bond yields, Inflation, Inflation-indexed bonds, Real interest rates, Spillovers

Keywords: Real interest rate, WP, Yield

Publication Details

Pages:

40
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/128
Stock No:

WPIEA2007128
ISBN:

9781451866926
ISSN:

1018-5941

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